The 3.5.0 release a couple of weeks ago ran into a few minor problems in the new Windows installer. First, Console2, our new terminal emulator, wouldn't work correctly with our setup if you already had a copy installed. Second, installing into a directory with a space in its name would prevent Console from starting. Lastly, and probably more important for most users, is that the new msfgui didn't work out of the box due to some incorrect paths in various places. All of these issues have been resolved with a new installer. The new installer still contains everything you need to run msfgui, scan a network, and store the results for use with db_autopwn out of the box.
Additionally, there is now a Windows mini installer that omits PostgreSQL, Java, and many of the things unnecessary for metasploit to run such as source code for the various non-ruby bits of the framework. The result is a much smaller download.
Lastly, for situations where disk space is at a premium, we have added a portable zip archive that weighs in at around 26MB. Of course, minimizing the required storage entails some sacrifices. Specifically, the .svn files have been ripped out, removing the ability to update the framework. If you can't live without updates, use one of the installers instead. Despite this downside, the zip has one very important advantage over installers -- it is self-contained and portable. It can be run from a usb drive or a network share.