Took a few steps to get this working.

1. Download Java SDK

http://www.oracle.com/technetwork/java/javase/downloads/index.html
http://www.oracle.com/technetwork/java/javase/downloads/jdk-7u3-download-1501626.html

2. Download Tomcat 7

http://tomcat.apache.org/download-70.cgi
http://apache.cs.utah.edu/tomcat/tomcat-7/v7.0.25/bin/apache-tomcat-7.0.25.exe

3. Download Solr 3.4.0

http://apache.mirrors.airband.net/lucene/Solr/
http://apache.mirrors.airband.net/lucene/Solr/3.4.0/apache-solr-3.4.0.zip

NOTE: Make sure you download 3.4.0 and not 3.5.0.

4. Install the Java SDK

5. Install Tomcat on Windows

6. Verify Tomcat works by trying to browse to http://localhost:8080/

Solr_step6

7. Right-click on Tomcat icon in system tray, select stop service

8. Unzip apache-solr-3.4.0.zip to C:\apache-solr-3.4.0

9. Copy C:\apache-solr-3.4.0\example\Solr to C:\Solr

10. Copy C:\apache-solr-3.4.0\dist\apache-solr-3.4.0.war to C:\Program Files\Apache Software Foundation\Tomcat 7.0\webapps\solr.war

11. Right-click on the Tomcat icon in the system tray, choose configure, Java tab, Java options, add the following line at the end:

-DSolr.Solr.home=C:\Solr

Solr_step11

12. Start Tomcat by right-clicking on the system tray and selecting “Start Service”

13. Browse to http://localhost:8080/Solr/ … You should see “Welcome to Solr”.

14. Click on “Solr Admin”.  You should see the Solr admin interface.