This is not at all a big thing, bust after I set it up many of my friends asked How to do it. It is so easy
Install JDK, you can get it from here, download the 32 bit version even if your Windows is 64 bit
Download Eclipse Helios, from here
Download Android SDK from here, here is how to install it, also read Adding Platforms and Packages and Installing the Eclipse Plugin
After completing Adding Platforms and Packages and Installing the Eclipse Plugin you are done. You can start a new project.