July 2010 Note: this stuff is for WinEdt 5.5 (and so presumably works in 5.6). I also have an old WinEdt 5.4 page. However, I have not yet found time to play with WinEdt 6.0, and may not anytime soon.
The easiest way to get LaTeX working in Windows seems to be the MikTeX system. MikTeX is completely free. If you're using LaTeX for the first time ask someone for an example file to start from, it is ...