One can build and run Swift natively, or through the Windows Subsystem for Linux.
Currently there are three supported ways to build Swift for Windows.
To cross-compile Swift for Windows from another host operating system (using clang), see Cross Compiling for Windows
To build on Windows using clang-cl, see Building on Windows
To build on Windows using Microsoft Visual C++ (MSVC), see Building on Windows
clang-cl is recommended over MSVC for building Swift on Windows. Although it is possible to build the compiler and the standard library with MSVC to use those built products to compile a Swift program, it won't be possible to run the binary without separately obtaining the Swift runtime. On the other hand, clang-cl is able to build the runtime, which makes it possible to build and run all the components required for Swift natively on Windows.
On the Windows Subsystem for Linux, it's possible to build and run Swift in a Linux-like environment, on Windows. See Swift on the Windows Subsystem for Linux for details.