You should run a *nix operating system in order to use node.js at this point. Linux and OSX are recommended, but you should also be able to use FreeBSD and cygwin (on windows). A full windows port of node.js is in the works, but it is not yet ready for public usage.
A full windows port of node.js is already more or less complete.
«Hello World Tutorial» currently says:
A full windows port of node.js is already more or less complete.