While I am getting used to using the command line interface on Linux a lot more, there are still times I want to use the desktop, mainly when writing programs in Python. One of the things I love about Windows is the Remote Desktop Client, it is simply the best, and you can use it with your Pi.
To install the file you need on the Pi, use this command line:
sudo apt-get install xrdp
That's it, now you can connect from your Windows PC.