First of all, include
does not do what you think it does. open Batteries
should be exactly what you're looking for. OPAM is not yet solid on windows (maybe Thomas could give an update on where things stand).
Frankly, I would recommend to install a linux on a VM, you should be able to get started with OPAM instantly then. Otherwise, take a look at this package manager for OCaml which focuses on cross platform support: http://yypkg.forge.ocamlcore.org/. I've never tried it myself however. The last package manger you could try is GODI, I'm not sure about its windows support though.
Finally, if none of these options work then it should be possible to install batteries from the source. All you need is OCaml and make. And if there are problems with this approach then you should definitely follow up on them either here or on the bug tracker because batteries does intend to support windows AFAIK.