TortoiseHG.
Install it, it adds shell extension to Windows. Create a folder in Windows Explorer where you want to keep your repository and right click in it and choose TortoiseHG > Create Repository Here. It will create a .hg folder and a .hgignore file for you. On Linux these would be hidden, on Windows you should just ignore them, even .hgignore, as you can manage everything with TortoiseHG.
Once you've created the repository, you can open the main TortoiseHG window by selecting the "Hg Workbench" option on the right click menu. From here you can submit, create branches, switch branch, roll back, etc. etc.
If you want to push and pull to a "remote" repository, you can set that up in the repository settings.
By "remote", Mercurial (and Git) essentially mean somewhere else. That somewhere else doesn't have to be another machine it can be another folder on the same machine if you wish. Mercurial and Git are both distributed version control systems, meaning there is no server, so although services like bitbucket and github exist, you shouldn't think of them as servers, but another client that you push to and pull changes from to keep up to date.