How to install and run (Oh-My-) zsh on Windows

I run zsh on Windows. But why? Some time ago, when I was still using a Mac, one of my colleagues suggested to use zsh instead of bash.

Since then I switched to a Surface Book which I happily preferred over OS X mac OS and mainly use cmdr as my shell. Now the Windows 10 Anniversary update is out, and it comes with "Bash on Ubuntu on Windows".

Now, while having bash on my fingertips again, my colleagues' suggestion came back to my mind, and I tried to use zsh again.
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