http://roscidus.com/blog/blog/2014/06/06/python-to-ocaml-ret...
Probably the biggest problem on Windows is that OPAM, the package manager, doesn't work there. That will come eventually, though.
Wodi [1] is a reasonable choice until OPAM starts supporting Windows. It includes many of the interesting/useful libraries (including, importantly, batteries [2] and core [3])
[1] http://wodi.forge.ocamlcore.org/ [2] http://batteries.forge.ocamlcore.org/ [3] https://github.com/janestreet/core_kernel
Any ETA on it? If I knew about it before buying the book, I would not have done it.
The book is great, but as it is I have better luck with F# at work.
(Personally, I don't really think it's worth it--many libraries that need to get stuff done in Java end up using JNA anyway, negating this supposed advantage. But it's certainly much better about it than ostensibly cross-platform languages like Ruby are).