SDRplay have recently posted a new workflow document and video that shows how to easily set up GNU Radio on Windows with an SDRplay software defined radio. They write:
GNU radio is a popular environment for teachers and developers involved in Digital Signal Processing and exploring new radio architectures. For receiver applications, the low cost dongle is a popular hardware choice, but if you need reliable, clean, continuous radio signal reception from 1kHz to 2 GHz (without the need for block converters or external filters) then an SDRplay RSP is a useful alternative.
With help from the GNU radio foundation, SDRplay has now made available a workflow for windows for all its RSP radios: www.sdrplay.com/docs/gr-sdrplay-workflow.pdf
Special thanks goes to Frank Werner-Krippendorf (HB9FXQ) who did the original SDRplay source block development, and to Geof Nieboer who has developed the Powershell scripts which enable operation on Windows.