There are many TeX systems available.  A TeX system includes the editor, compiler, previewer, converters. Possible combinations are...

System

• You can choose either MikTeX or TeX Live.  Free and well-maintained.

Frontend

• WinEdt is a worth-the-pay fronend: easy to use, feature rich and flexible.
• LyX is a very good choice for beginners, as well as experts.
• Texmaker is a free LaTeX editor released under the GPL license. It integrates many tools needed to develop documents with LaTeX, in just one application.
• WinShell is a free multilingual integrated development environment (IDE) for LaTeX and TeX.
• eclipse + TeXlipse: The combination is a very nice frontend.  Features include folding, macros for many tasks.
• TeXnicCenter is a feature rich integrated development environment (IDE) for developing LaTeX-documents on Microsoft Windows (Windows 9x/ME, NT/2000/XP) freely available under GPL.

Chinese  preprocessor

• cwTeX: I prefer this one over CJK when using WinEdt.