Here how to setup php-fpm on Windows:

1. Download the .zip file from http://windows.php.net/download/. The .zip file should be VC9 which has the FastCGI file (php-cgi.exe). Don’t download VC6, and don’t download the .msi file because it requires that you have IIS setup already in order to install php-fpm. The zip file contains the php-cgi.exe which is what you need for php-fpm. I downloaded a slightly older version, php-5.3.10-Win32-VC9-x86.zip, from here http://windows.php.net/downloads/releases/archives/ because I wanted to match the version running on my production server.
2. Unzip the file, e.g. unzip into C:\php-5.3.10-Win32-VC9-x86
3. Edit the php.ini file as needed. What I did:

   # nginx security setting
   cgi.fix_pathinfo=0
   
   extension_dir = "C:\php-5.3.10-Win32-VC9-x86\ext"
   

   enable the following modules by uncommenting them:

   extension=php_curl.dll
   extension=php_mbstring.dll
   extension=php_mysqli.dll
   

4. Create a .bat file somewhere, e.g. start-php-fcgi.bat in webserver directory or in the PHP directory:

   @ECHO OFF
   ECHO Starting PHP FastCGI...
   set PATH=C:\php-5.3.10-Win32-VC9-x86;%PATH%
   C:\php-5.3.10-Win32-VC9-x86\php-cgi.exe -b 127.0.0.1:9123 -c C:\php-5.3.10-Win32-VC9-x86\php.ini
   

5. Double click the .bat file to start php-fpm. A window will popup and stay open while its running. Its kind of annoying, but just haven’t looked into setting it up as service yet.
6. Configure your webserver. If you wish to use it with nginx, here a config sample for 127.0.0.1:9123:

   location ~ \.php$ {
       fastcgi_pass    127.0.0.1:9123;
       fastcgi_index   index.php;
       fastcgi_param   SCRIPT_FILENAME  $document_root$fastcgi_script_name;
       include         fastcgi_params;
   }