Joyanta,
I have been running on windows and had a couple problems but they have been worked out on the zipline google groups forum. One problem was that loader.py couldn't read csv files. A fix was made to zipline and should now work if you download the latest version. I also had a problem with Blist not loading but it has since been removed as a dependency. You may also have a problem installing talib if your on a 64 bit Python installation. I got around it by installing talib from here: http://www.lfd.uci.edu/~gohlke/pythonlibs/. I noticed that on the zipline forum you were asking about Iron Python. I think you might a hard time with that because of the C code in pandas and some other packages so I would stick with a C based python like Anaconda first to get things going.
Ralph Woelfel