Requirements:
Python 2.5.1 (install first):

http://www.python.org/download/

A windows Subversion client like TortoiseSVN:

http://tortoisesvn.net/downloads/

uTidylib:

http://developer.berlios.de/project/showfiles.php?group_id=1810

pyOpenSSL:

http://webcleaner.sourceforge.net/pyOpenSSL-0.6.win32-py2.5.exe

Win32 OpenSSL:

http://www.shininglightpro.com/products/Win32OpenSSL.html

Create a folder somewhere named w3af
Right click on it and hit SVN Checkout…
URL:

https://w3af.svn.sourceforge.net/svnroot/w3af/

Leave other options at defaults
Hit Ok to checkout

It is currently just under 25MB so be patient.

Ensure that the Python install folder is in your path
Open a command prompt (WinKey-R, cmd, ok)
cd to you w3af folder ie: cd Desktopw3af if you created the folder on your desktop

cd extlib
cd fpconst-0.7.2
python setup.py install
cd ..
cd pygoogle
python setup.py install
cd ..
cd pywordnet
python setup.py install
cd ..
cd SOAPpy
python setup.py install
cd ..
cd pyPdf
python setup.py install
cd ..
cd ..
python w3af

All done!

w3afwin Howto: Install w3af on Windows (svn style)