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.
Update: If you use Windows Vista or 7, 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: