You have to open a command line window. I do not have an access to a Windows computer at the moment, so I do not know if there is a better way to do it, but I seem to remember that if you click on Start, then navigate to the Programs menu (the way to do it seems to depend on your Windows version), then under Accessories there is something like "DOS Prompt" or "Command Prompt". When the command prompt window opens, you have to change to the directory (or folder) that contains your file (
cd "\Documents And Something\XYZ's Documents\whatever\folder\it\is\in"), and run
htlatex myfile.tex. That will work if htlatex is in your PATH. If it is not, you have to type the full path to htlatex instead, something like
"C:\the\full path\to\htlatex.exe" myfile.tex
Hopefully someone with better knowledge of Windows will be able to edit this or provide a better answer.