I've been running Windows as a desktop OS forever, using PuTTY to connect to a myriad of hosts running Unix-like OSes. It wasn't until I started running Debian with the vim-nox package that I couldn't figure out how to copy and paste between Vim and the Windows clipboard.
To paste something from Windows clipboard into Vim, use Shift + Insert.
To copy something from Vim into the Windows clipboard, hold Shift and select with Left Mouse.
Whew—it's frustrating when that doesn't work!