From a powershell, run
set-executionpolicy remotesigned
.\bootstrap.ps1
This installs cygwin and the required cygwin packages. Then, from a cygwin terminal, execute provision.sh. This should install ocaml and all the opam dependencies (similar to make lib-ext). The whole process takes around 15 minutes on a VM.
From a powershell again,
$env:Path = $env:Path + ";C:\ocaml\bin;C:\cygwin\bin"
$env:HOME = "C:\Users\USER"
Then, opam.exe init should work.