The Windows version of VIM that I am using is the Win-32 console and OLE GVIM flavor.  Assuming you took the defaults during the installation of the program, you will find the VIM init file in the %DRIVE%\Program Files\Vim called _vimrc.  Edit this file and add a line that looks like the following:

set guifont=Lucida_Console:h10

This will use the Lucida Console font in size 10 regular.  You can use other fonts, sizes and settings. The syntax is basically:

set guifont=font-family:size:style

Here is a snippet from the VIM help guide:

	For the Win32 GUI					*E244* *E245*
	- takes these options in the font name:
		hXX - height is XX (points, can be floating-point)
		wXX - width is XX (points, can be floating-point)
		b   - bold
		i   - italic
		u   - underline
		s   - strikeout
		cXX - character set XX. valid charsets are: ANSI, ARABIC,
		      BALTIC, CHINESEBIG5, DEFAULT, EASTEUROPE, GB2312, GREEK,
		      HANGEUL, HEBREW, JOHAB, MAC, OEM, RUSSIAN, SHIFTJIS,
		      SYMBOL, THAI, TURKISH, VIETNAMESE ANSI and BALTIC.

	  Use a ':' to separate the options.
	- A '_' can be used in the place of a space, so you don't need to use
	  backslashes to escape the spaces.
	- Examples:
	    :set guifont=courier_new:h12:w5:b:cRUSSIAN
	    :set guifont=Andale_Mono:h7.5:w4.5