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The installer that installs GHC on Win32 also sets up the file-suffix associations for ".hs" and ".lhs" files so that double-clicking them starts ghci.
Be aware of that ghc and ghci do require filenames containing spaces to be escaped using quotes:
c:\ghc\bin\ghci "c:\\Program Files\\Haskell\\Project.hs"
If the quotes are left off in the above command, ghci will interpret the filename as two, "c:\\Program" and "Files\\Haskell\\Project.hs".