It seems that both git and mercurial are rather Linux oriented. Which of them is more mature on windows?
If you're looking for a strong integration with a DVCS inside Visual Studio:
Check the full tutorial here: http://codicesoftware.blogspot.com/2010/03/distributed-development-for-windows.html
Plastic provides you with all the distributed stuff you need and is specifically designed to work on Windows (ok, it does Linux and Mac OS too, but it shines on Windows)