There’s a new feature in 0.2 intended to improve the windows experience. The new default-host setting controls which platform rustup installs compilers for. So on Windows, where rustup installs the i686-pc-windows-gnu compiler by default, you can change the default host to e.g. x86_64-pc-windows-msvc and rustup will assume that you want the compiler for that platform unless explicitly told otherwise. This setting can be changed interactively during install or with rustup set default-host.
This feature doesn’t have docs published yet but here’s what I just wrote for the README.