The crappy way: Alt-174 for « and Alt-175 for ».
The more definitive, but not at all not cumbersome way: download a thing called Microsoft Keyboard Layout Creator from http://www.microsoft.com/downloads/details.aspx?familyid=FB7B3DCD-D4C1-4943-9C74... and create your own keyboard layout, probably using a standard one as template. This program will prepare a .msi installer for you. After executing it go to Control Panel and set your layout as the default one.
You most probably want to set « to AltGr-Z and » to AltGr-X, as any Linux user know and love.
Or take my spanish keyboard layout: keybspao.msi with source keybspao.klc.
Update: If you use Windows Vista, you'll need at least Microsoft Keyboard Layout Creator 1.4. My keyboard layout source file is still functional, but you need one of this installers instead: