Here are binaries for windows, from @alphabeta but that's going to stop working at some point soon. I saw a comment from @dantheman that a future update will no longer work with windows. Here are instructions for Windows and Linux. Not sure if they're totally current, but should get you started.

One word of caution. If you try to mine on multiple machines, it's very important that you do not configure the witness(es) on more than one. Set miners on all machines, but witnesses on just one. (this will make sense after you work through the directions. More here.)

If you want a far easier way to use your cpu to collect steem power, you can follow this guide from @cryptos. With that strategy, you mine altcoins, get paid in bitcoins, then convert the bitcoins to steem power. Unlike native steem mining, the set-up is very simple.