The easiest way to install an cache server for windows/xp/2k/vista
download http://ftp.isc.org/isc/bind9/9.4.2/BIND9.4.2.zip
there is an setup there then you will follow this guide (and ignore the creating of example.com zone file)

The setup puts the files into this dir "c:\windows\system32\dns" by default
Enter that directory and "c:\windows\system32\dns\etc"

create named.conf with following content

zone "." {
type hint;
file "named.root";
};
zone "localhost" IN {
type master;
file "localhost.zone";
allow-update { none; };
};
zone "0.0.127.in-addr.arpa" {
type master;
file "named.local";
};
options
{
directory "c:\windows\system32\dns\etc";
};

download root dns server list "named.root" from FTP.RS.INTERNIC.NET (anonymous ftp) with filezilla

create localhost.zone with following content

$TTL 86400
$ORIGIN localhost.
@ 1D IN SOA @ root (
44 ; serial (d. adams)
3H ; refresh
15M ; retry
1W ; expiry
1D ) ; minimum

1D IN NS @
1D IN A 127.0.0.1
localhost.localdomain. IN A 127.0.0.1

create named.local

@ IN SOA localhost. root.localhost. (
19 ; Serial
28800 ; Refresh
14400 ; Retry
3600000 ; Expire
86400 ) ; Minimum
IN NS localhost.

1 IN PTR localhost.

Start the server from services and use the 127.0.0.1 server in network config