Visit the Gimp's website at www.gimp.org. There are various stable versions of the application, as well as potentially less reliable development versions. The page provides links to other sites where you can download the version of The Gimp you want. Click ‘Gimp for Windows' at the bottom left.
Click ‘Automated installer', which will take you to Jernej Simoncic's website. Select ‘Stable version' from the menu on the left. In theory you'll need 200MB of hard disk space to install the application, but with certain options turned off you'll be able to get away with around 30MB.
Before downloading The Gimp, you need to download the GTK Runtime Environment. This helps with the setup process. Click on the Download link below GTK+ 2 Runtime Environment. A screen will appear telling you the download is taking place. If this doesn't work, there's also a direct link.