for windows try miktex. it is more up to date and has installer and portable.
MiKTeX Project Page
Where can you download the software that allows you to write documents (such as the following: http://www.math.toronto.edu/lshorser/MathStyleGuide.pdf) in LaTex?
When I click on "proTeXt" on the page Obtaining LaTeX, I get directed to proTeXt - a TeX distribution for Windows, and when I click on "download the self-extracting protext.exe file" on that page, I get directed to a random page such as Index of /systems/windows/protext/. What confuses me is that on this page, I'm presented with three files: two 1.1G and one 0.1K. Do I have to download just one of these files or do I have to download them all? Will these files alone allow me to write documents in LaTex, or will I need to download something else?
go to system properties->advanced->environment variables and add to your "Path" variable the bin directory of your miktex install something like "c:\program files\miktex 2.x\miktex\x64\bin". now open a shell and type "yap". a viewer should pop up. if not fix path again. when you get yap to pop up then your good. now type "texworks". now you can edit your latex in texworks and compile to yap to view your document.
read some tutorials on yap and texworks. that should get you started.
yap and texworks should be in your program files list but will probably not work unless your Path is set.