If you run any of the later versions of Microsoft Windows as an operating system, and want to use the same setup that I use on my computer, you should download the following four separate programs: MiKTeX (25M), Ghostscript (7M), GSview (1.5M), and TeXnicCenter (5M).
The MiKTeX program above is a "small" TeX distribution package that probably already contains every TeX package you will ever need, and can be easily updated online if you require a package that isn't in the initial distribution. Ghostscript and GSview work together to allow you to view postscript files, and TeXnicCenter is a very nice user interface system for Windows that helps you create LaTeX documents. Among other things, it color codes your tex input, provides buttons for inserting math symbols when you don't know how to code them in, and lets you build and view the output of your tex by clicking on a couple of buttons.
You may download these files in any order, but you'll need to install Ghostscript before GSview, and you should install each of the first three before TeXnicCenter. All four programs have fairly user-friendly initial setup programs and should be very easy to install.
The links are current as of January 25, 2006. Let me know if they don't work and I'll update them.
If you prefer to research various LaTeX programs on your own, a list of free TeX implementations is online at http://www.tug.org/interest.html#free . The above site also contains several sources of information for how to write mathematics using LaTeX.
For additional reference, here are links to some of the resources I created for this class using LaTeX, as well as copies of the LaTeX files I used to create the solutions for the math 74 homework assigments in fall 2004. Feel free to use any part of these documents. The formatting will be a little better for the later homework files, as I was learning how to use LaTeX efficiently myself while working on these.