If you don't already have PostgreSQL (which it sounds like you don't) the best version to get is probably the latest - v9. You can download it from
www.PostgreSQL.org by following the download link at the top right.
If you're using 64-bit Windows be sure to get the 64-bit version of PostgreSQL for optimum performance.
If you need help with the installation follow the install part of one of the guides in the
Documentation - they refer to earlier versions of PostgreSQL but the setup is basically the same.
PT3 may still offer to install PostgreSQL for you the first time you run it, but if you've installed it yourself and the service is running (click Start, on XP click Run, and type "services.msc" - find PostgreSQL and set it to Automatic, and start it if it isn't already running) you can ignore that and just connect.