BIND looks to have very good install instructions at: http://www.zytrax.com/books/dns/ch5/win2k.html
but it seems like the "run as service" option has moved in XP. However, running locally on 127.0.0.1 address it did not seem to stop it if I ignore the errors that there are too many privileges. I would never do this in production, but then I would tend to run *nix there rather than XP.
I found the trick to be go to a command and run: C:\windows\system32\dns\bin\named-checkconf.exe
and check for any errors in your C:\windows\system32\dns\etc\named.conf (that you have create yourself compared with fedora that gives you a cache servers out of the box).
So, I can now dig rather than nslookup and us my own DNS server. I found different DSL providers seem to be really mean on caching their names and do not update them as fast as I would like.
dig @127.0.0.1 mazhire.com any