In Nvidia's deep learning lab last week [0] they described setting up on Ubuntu as "the easy way" and Windows the "not so easy way" [1], adding that their developers are on Linux so no-one has really tested it on Windows.

[0] https://developer.nvidia.com/deep-learning-courses

[1] http://on-demand.gputechconf.com/gtc/2015/webinar/deep-learn...