Ed,
Where have you installed MySQL? If it's anywhere other than c:\mysql, you need to copy the my-example.cnf to c:\ as my.cnf and specify the install directory to start as a server. For example, if you installed to e:\mysql, you'd add the following line:
basedir = e:/mysql
it's also a good idea to specify the data directory like so:
datadir = e:/mysql/data
A full listing of the MySQL command line arguments can be obtained by issuing mysql-nt --help. All those arguments can also be set in your my.cnf. HTH.
geoff