Download and run autorun from http://technet.microsoft.com/en-us/sysinternals/bb963902.aspx - enter the tab 'Logon' and replace the value of HKCU\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon\Shell with the dolphin path - but - be aware that explorer provides almost everything in the system settings area and other stuff.
KDE4 is known to run on various versions of Windows XP and Vista, as well as the upcoming Windows 7.
It is easy to uninstall. You can run the installer and select the "Remove installed packages" option. To clean out your personal settings, you will need to remove the ".kde" directory in your personal folder (c:\Documents and Settings\<user> on XP).
No, it is not stable yet. While most of the applications should run fine, there are a lot of problems that come in with porting software to new platforms. The KDE on Windows team is working hard to fix bugs and resolve issues with this port, so be patient and let them know what you think.