To set up Espressif in Windows, the best choice is to go for the Visual Studio Code plugin of Espressif themselves.
Open Visual Studio Code
Go to the Extensions tab
Type ESP-IDF in the search bar
Select the ESP-IDF extension
Select 'Install': the installation procedure will start
Once the extension is installed, you should see a new item appearing on the left side of the screen where also the explorer, search window, and so on is located. The icon looks like a fingerprint symbol (logo of Expressif).
If you click on it you will see a Commands window popping up which contains lots of items and also an Advanced secsion. See image below.
I've also indicated the Espressif icon.