Installing the OS
See the official guide here.
First Time Use Of A Windows PC For Installing Onto The Compute Module
Install CM-Boot-Installer.exe first so the USB drivers are ready to be used.
When you connect the Compute Module development PCB (fitted with the CM) to your Windows PC for the first time you should see windows install the USB drivers for it. If not you may have a PC which doesn't like the known bug in the RPi chipset bootloader USB driver. Use a different windows machine and try again.
Installing The OS
Ensure the development board 'USB Slave Boot Enable' jumper is set to enable.
Once the Windows PC has been setup with the necessary USB drivers you should be able to connect the RPi CM, run the 'RPi Boot' application that was installed (in Start > All Programs > ComputeModuleBoot). This will cause the RPi CM to appear in windows as an external drive and you may get prompted to format it. Don't bother, instead now run win32diskimager and have it install the OS onto the RPi CM.
Set the development board 'USB Slave Boot Enable' jumper to disable. Re-power the board and you should have a working module