Vim Key Remapping on Windows

I've been on a quest to get to know Vim over the past few weeks. I'm making a little bit of progress, with the help of some of the guys at work, and I've got myself a nice personal configuration, which I've put in a Mercurial Repository for portability.

Yesterday, I finally got around to installing gVim on my Windows computer, and I immediately ran into a snag. I've already trained myself to use jj instead of reaching all the way to the Escape key to exit insert mode, but on my Windows computer, that didn't work. Instead of switching back to normal mode, typing jj just printed the text <esc><right> in the document.

After a bunch of mucking about and uninstalling and re-installing Vim, I discovered that the issue is not present if I let the installer create the default _vimrc file in %ProgramFiles(x86)%\Vim. Further testing revealed that the command set nocompatible was needed in order for key mapping to work correctly, and probably fix other problems that I've yet to encounter.

I guess there's really no harm in letting the default _vimrc file exist. I didn't install it at first because I wasn't sure where it would be placed (I thought it would put it in %USERPROFILE%, thus conflicting with my personal configuration).