I'm not using Oracle on Windows, but I guess it works quite the same way as Unix. So:
You have to specify to which database you want to connect. To do that, you must set up the global variable ORACLE_SID.
Another solution is to use a tns entry (in the tnsnames.ora file) and use this sqlplus syntax:
sqlplus user/password@tns-entry-name
Note: in this second solution, you must also start a listener for this database.