It hasn't made it onto the Go Lang FAQ yet, but from the changelog:
Why doesn't Go run on Windows?
We understand that a significant fraction of computers in the world
run Windows and it would be great if those computers could run Go
programs. However, the Go team is small and we don't have the
resources to do a Windows port at the moment. We would be
more than willing to answer questions and offer advice to anyone
willing to develop a Windows version.
Despite the fact that Go is only two days old, this question has already become a FAQ on the Go mailinglist. (Unfortunately, it has not yet been added to the FAQ list on the website.)
Basically, Go is done by a very small group of people, so they simply do not have the time nor the resources to do a Windows port. That very small group of people also happens to be the people who invented Unix, so that was kind of a natural first target.
The authors of Go have very very deeply roots on non Windows operating systems ( Trivia: who of them created no less than the very UNIX operating system )
So, don't expect to have a Windows port from them any time soon.
The language is open source, so it will be just a matter of time ( make it from 6 - 8 ehrm months ) for a Windows implementation will be available.
So if you, like me, are on Windows a lot of the time and want to do some Go programming right now, you can do it on a VM. I use VirtualBox running Ubuntu in seemless mode. I already had it set up because I like Linux better than Windows for a lot of things.
Building and working with Go has been totally painless for me. I have a Bash open in a terminal to run my build and try my app. The source directory is a shared folder between Windows and Linux (a VirtualBox feature but I'm sure VMWare has the same thing). I edit my code in Komodo Edit on Windows and use Mercurial for the same source code on both OSes.