CherryPy is a minimalist, pythonic, object-oriented HTTP framework. Below are the steps for setting up CherryPy on Windows.

1. Download and install the latest version of python 3.

2. Download and install the latest version of CherryPy with wsgiserver3 support.

3. Test the installation by running an example program (say hello.py) like below.

import cherrypy
 
class HelloWorld(object):
    def index(self):
        return "Hello World!"
    index.exposed = True
 
cherrypy.quickstart(HelloWorld())

4. Navigate to the directory and run python hello.py to start the server.

5. Now go to 127.0.0.1:8080 and we will get a "Hello World!" from the server.