The above solution is great but not the simplest as it involves a number of steps. I didn’t check yet but presumably you still have to manually download the params too as well as generating zcash.conf and starting zcashd manually.
What’s the likelihood of bundling all of this i.e. generate and provide the Windows zcashd binaries (support for this has just been rolled into the docs here User Guide — Zcash Documentation 5.2.0 documentation) together with a startup script to download the parameters and generate a default zcash.conf and opening zcashd in the background?
WinZEC does all the above and is as probably about as simple as it would get to get up and running. That being said to echo the sentiment of @anon47418038 above more options for wallets supporting shielded transactions (particularly cross-platform ones) would be very welcome.