I was having a hard time figuring out how to install Yii on my Windows machine. Then I found this blog entry but it didn't completely work for me. I got stuck at step 18 because the command line can't find php.exe.
Open yiic.bat with notepad and put the complete path to your php.exe, like this:
if "%PHP_COMMAND%" == "" set PHP_COMMAND=C:\wamp\bin\php\php5.3.0\php.exe
Save and apply step 18 again. BTW, you can skip steps 1 to 12.
Hope it helps.