Windows installation is a bit more tricky since "pecl install imagick" does NOT work properly.
Here's how I installed it:
1/ Install ImageMagick software http://www.imagemagick.org/script/binary-releases.php#windows
2/ Download pecl-5.2-dev.zip (choose the version relevant to your PHP) from http://snaps.php.net/
3/ Copy php_imagick.dll from the archive you've downloaded to your PHP extention folder.
4/ Add the following line to php.ini (in the exntentions section):
5/ Restart your server
6/ Try the example script to see all went well
Good luck :)