1. Download GlassFish
Download the installation jar for GlassFish. I went with GlassFish V2, since this is the latest stable release, though I think this technique will work with any version listed on the download page.
2. Install it
The GlassFish V2 Installation instructions show how to install it once download is complete. The problem with the GlassFish installer is that it does not register as a service with Windows, so once you log out, the GlassFish instance will terminate.
3. Register as a Service.
There are a few ways of doing this. The Hard Way, or my favourite the Easy Way. Once the service is registered, GlassFish will continue to run once you log out, and can be controlled through the Services applet from Control Panel, though continued use of asadmin is recommended.
Alternatively, use Ubuntu, where you can install GlassFish as easy as:
sudo apt-get install glassfish
Ubuntu wins again :-)