KDE4 has recently released a Windows version of KDE which allows many popular KDE applications like Konqueror under Windows.
Well, sort of.
The installation process is still a bit sketchy. My first attempt to use the graphical installer failed, because I was behind a firewall and the attempt to use Firefox's settings failed. (It does need to be noted that I use a PAC script for settings, so if using Firefox settings worked for someone else, that could be why.)
The second time I just manually entered the firewall information, and this time it was able to download the list of mirrors and move along to the download and install section.
Unfortunately it's very unclear how you pick an item from that list to install. Turns out you need to check the item under "bin/doc" and then hit next. This selects the dependencies, assuming they're properly defined. You can then hit Next and start downloading and then installing.
Once this is done, you're left with a bunch of files and a few more configuration steps according to the wiki.
First, you need to set the KDEDIRS environment variable to the directory you installed to. Then you need to set the PATH to include the "lib" directory in the installation directory.
Finally, you're ready to try a KDE application!
I was able to get most applications running. Unfortunately, I couldn't get to Konqueror's configuration dialogs, which I need to do to set the proxy information. Attempting to access them immediately crashes Konqueror. So I can't try it out.
KDE also leaves lots of little processes running in the background, even when you're not running any KDE applications.
Finally, the KDE applications that do run generally "feel" more like Windows applications than GTK+ applications under Windows. However there are still some problems with fonts for some reason - all the KDE applications I tried failed to use the proper UI font.
In any case, an impressive effort, which might help provide a migration path for some users off of Windows and onto a KDE-based Linux desktop.