As usual with Android, getting started on a process usually involves a few hiccups. Here is a complete list of the steps it took for me to get started with deploying apps directly to my Android phone from my Windows development box.
Install the Android SDK.
Add the Android SDK's Platform Tools directory to your path (so that you can run the adb tool).
Right click on Computer, select Properties from the menu
Click Advanced System Settings on the left
Click Environmental Variables
Double-click on PATH in the User Variables list, append a semicolon and the Android SDK Platform Tools folder (e.g. ";C:\Program Files (x86)\Android\android-sdk\platform-tools")
If you have a Google device (e.g. Nexus One), install the Google ADB driver.
If you have a non-Google device (e.g. LG Optimus V), search for "[your device brand and product name] adb driver", which should turn up the necessary driver. Using the example of the LG Optimus V (VM670 aka LG LGP500), the LG Mobile Support Tool must be installed (be prepared for a uniquely awful user interface).
Incidentally, I had some trouble getting my PC to recognize the Android over USB initially. It took a few minutes for me to realize that the power adapter for my USB hub had come unplugged.