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TeX is a typesetting program. For more information see What is TeX? in TeX Users Group (TUG) Home Page. I use the word `TeX' in its broadest sense, including plain TeX, LaTeX, AMS-TeX, etc.
If you would like to use TeX on Windows, I recommend dviout as a dviware. As far as I know, dviout is the best dviware on Windows.
If you use Emacs (or an Emacs-like editor) to write a TeX source, I recommend YaTeX. It considerably lessens the trouble when you write a TeX source.