Assuming that you have already install the wampserver on your windows.
set PATH=%PATH%;C:\wamp\bin\php\php5.4.3 cmd
note the C:\wamp\bin\php\php5.4.3 is the php folder path on my system, so you have to check which is yours
save the changes of the file myrun.bat
run the myrun.bat like as an executable file. A console command line will be appeared.
ensure that the current path is c:\wamp\www and then type
php yii/framework/yiic.php webapp myfirstsite
That's it! a folder named myfirstsite has been generated and now you can see the site on your browser typing localhost/myfirstsite or 127.0.0.1/myfirstsite (ensure that the wampserver is running!)