I’ve got XeLaTeX and unicode LaTeXing working on my laptop (PC, XP/SP2). Here’s what I did:
I’m using MikTeX as the compiler. It has XeLaTeX and XeTeX bundled with it.
I had to define a user process to call ‘xelatex’ (although you could just change the LaTeX button too, probably).
I then tested the setup with some of Daniel Stender’s Devanagari examples. That downloaded the necessary additional packages and did the font setup.
And Robert’s your mother’s brother! Yan-nhaŋu without \uld for ḏ, etc!
Updated because as William pointed out, I did mean WinEdt and not Winedit (the link was right).