Both git and mercurial seem to be more Linux oriented. Which one is more mature in the windows?
If you are looking for strong integration with DVCS inside Visual Studio:
Check out the full tutorial here: http://codicesoftware.blogspot.com/2010/03/distributed-development-for-windows.html
Plastic provides you with all the distributed materials you need and is specifically designed to work on Windows (ok, Linux and Mac OS too, but it shines on Windows)
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msysgit bash () ... hasen-j cmd.
If you are a fan of Tortoise (SVN / HG / CVS / etc), there is also TortoiseGit .