Getting started with ZIP packages on Windows is very straightforward - this distribution includes pre-built database files that can be used right after unpacking the ZIP.
You can run mysqld.exe from the command prompt like this:
cd <directory-where-zip-was-unpacked> bin\mysqld --console
However, running MariaDB from the command line in a user session like this covers only the simplest testing scenarios.
For MariaDB 5.2.6 and later, for any serious purpose, use mysql_install_db.exe to create database instances - it is more secure (disables anonymous user by default, allows setting root password during database creation), and more convenient (can create Windows service, supports user-specified data directory).
For older MariaDB releases, you can follow instructions in MySQL documentation on ZIP distributions - this describes manual process or registering service and securing the database.