from http://en.wikipedia.org/wiki/GitHub:

GitHub is a Git repository web-based hosting service which offers all of the functionality of Git as well as adding many of its own features. Unlike Git, which is strictly a command-line tool, Github provides a web-based graphical interface and desktop as well as mobile integration. It also provides access control and several collaboration features such as wikis, task management, and bug tracking and feature requests for every project.[3]

You find all downloads bundled on github https://github.com/cest-sources.

A windows version for github can be found here https://windows.github.com/

If you are using a proxy, you need to add a line in your .gitconfig file (probably in your user folder). [http] proxy = http://your-proxy:8080

With the versioning tool TortoiseGit you can also automatically create an updateable repository (https://code.google.com/p/tortoisegit/). I havent figured it out yet how it works with github, but here is a howto.