README

Unix

${HOME}\.vimrc ${HOME}\.vim

step1

make reinstall
make vim=/usr/bin/vim reinstall

Windows

%USERPROFILE%\_vimrc %USERPROFILE%\vimfiles

step1

Git on Windows Download msysgit installer

step2

Curl (bundled with msysgit) on Windows Installing Curl on Windows is easy as Curl is bundled with msysgit! But before it can be used with Vundle it's required make curl run in command prompt. The easiest way is to create curl.cmd with this content

@rem Do not use "echo off" to not affect any child calls.
@setlocal

@rem Get the abolute path to the parent directory, which is assumed to be the
@rem Git installation root.
@for /F "delims=" %%I in ("%~dp0..") do @set git_install_root=%%~fI
@set PATH=%git_install_root%\bin;%git_install_root%\mingw\bin;%git_install_root%\mingw64\bin;%PATH%
@rem !!!!!!! For 64bit msysgit, replace 'mingw' above with 'mingw64' !!!!!!!

@if not exist "%HOME%" @set HOME=%HOMEDRIVE%%HOMEPATH%
@if not exist "%HOME%" @set HOME=%USERPROFILE%

@curl.exe %*

see this for more details

And copy it to C:\Program Files\Git\cmd\curl.cmd, assuming msysgit was installed to c:\Program Files\Git

to verify all good, run:

C:\> curl --version
curl 7.21.1 (i686-pc-mingw32) libcurl/7.21.1 OpenSSL/0.9.8k zlib/1.2.3
Protocols: dict file ftp ftps http https imap imaps ldap ldaps pop3 pop3s rtsp smtp smtps telnet tftp
Features: Largefile NTLM SSL SSPI libz

step3

$ cd C:\Program Files (x86)\Microsoft Visual Studio 14.0\Common7\Tools
$ .\vsvars32.bat
$ cd c:\src\0self\vimrc
$ nmake -f Makefile.win reinstall

References

Vundle-for-Windows