Actually I have gone through the info centre documents you provided but either of the documents doesn't give the procedure how to do it on windows.
I followed similar steps which the document provided for unix.
Installing the IBM Data Server Driver for ODBC and CLI
I created a directory db2_cli_odbc_driver under the db2 install directory which is C:\PROGRA~1\IBM\SQLLIB2 and extracted all the files under it.
Right now I need to verify if it is installed properly. db2level doesnot provide me that info.
Here is the output.
DB21085I Instance "DB2_01" uses "32" bits and DB2 code release "SQL09050" with
level identifier "03010107".
Informational tokens are "DB2 v9.5.0.808", "s071001", "NT3295", and Fix Pack
"0".
Product is installed at "C:\PROGRA~1\IBM\SQLLIB~2" with DB2 Copy Name
"DB2COPY1".
db2cli doesn't work
C:\Documents and Settings\PBTJB>db2cli
'db2cli' is not recognized as an internal or external command,
operable program or batch file.