On windows you must create the blockchain first time with the genesis block
1) download [1] save it as uther-genesis.json
2) coppy that to bin folder where  geth_win_x64.exe[2] exist rename it to geth.exe
3) run from cmd geth --genesis uther-genesis.json console, wait the blockchain finish sync, close the promt
4) start as always with geth console


[1] https://www.dropbox.com/s/p4zqipcqjyg25jz/uther-genesis.json
[2] https://github.com/uthercoin/geth-builds/releases/download/1.3.5/geth_win_x64.exe