If you know how to use git and have java installed then pull the repo from https://github.com/mclamp/JAuth.git

Otherwise there is a windows installer in the downloads section https://github.com/mclamp/JAuth/downloads
I'm not on windows so don't know how that will work out for you but it should be ok.

There are probably other implementations around but I've used this one on MtGox without problems.

You then create a file with the secret key in and launch the program with the filename as a parameter, or you can even launch with the key as a parameter.

Might be different on windows but I doubt it.

MtGox requires a correct two factor login code using a key before you can enable the two factor login process.  In this way if you have managed to enable  two factor login then you know you are generating the right keys.

Remember to back the secret key up on another machine or device or even a piece of paper, it's not long.