Open Windows Explorer by clicking Start -> Computer. Change the view to Details (via Organize -> Layout). Highlight the file you want to tag. Then look at the very bottom of the window and you'll see a button that says "Add a tag". Click on that and type your tag. Hit enter, and you've got it.
Want to know some highly classified top secret information about this? I found the above by clicking on help and typing "add tag". Whatever you do, don't tell anybody about this though! :-)
I hope that helps. Good luck.