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Under Windows, you can either use Sage in a virtual machine (running Linux), or compile it in Cygwin.

Read more about the Cygwin64 port or the Cygwin port or see this recent Cygwin thread on sage-devel.

To use Sage in combination with external Python libraries, use the Python that comes with Sage. Under Linux or Mac OS X, this is done by running sage -python, not sure how this works under Windows. Install your libraries for that Python. Then, running that Python, import what you need from your external libraries and from the Sage library. Or just run Sage and import what you need from your external libraries.