I really only have experience calibrating on Macs, but I'm sure the process is pretty similar. The first thing I do is calibrate the computer monitor. There are various free tools to do this on the Mac. Then I install the vendor-supplied color profiles for the printer. I do all color-critical work in Photoshop, since it allows you to use various color profiles so that the screen will simulate the colors of your output device and media type -- e.g. Epson with semi-gloss photo paper or Epson with matte photo paper will have difference color characteristics.
I send a bunch of test prints with various color settings until I find the best match between what's on screen and what comes out of the printer. Then I write down these settings and/or take screen shots of the settings so that I can duplicate it easily.
It's pretty tedious, but once you have everything dialed in, the work pays off.
