First decide whether you want to use XSLT 1.0 or 2.0. XSLT 2.0 is a much richer language, and the only reason for preferring XSLT 1.0 is that it's supported in a wider range of environments (for example, in the browser).
Then decide what XSLT processor you want to use. There's a wide choice for XSLT 1.0, a rather narrower choice for XSLT 2.0.
Then look in the documentation for that XSLT processor to find out how to run it.
Given that you seem to be OK with running the transformation from the Windows command line, I would recommend using Saxon-HE which you can get from http://saxon.sf.net/. You will need to install Java, and then you can run it as described here:
If you prefer a simple GUI interface, consider "Kernow for Saxon".
If you want a development environment with a nice editor and debugger, you will have to pay for it, but Stylus Studio and oXygen are both good value, and both give you a choice of XSLT engines.