I took these steps:
download windows binary Mercury 14.01 (Visual Studio 2013 32bit)
(this is near the bottom of http://dl.mercurylang.org/index.html)
double click the downloaded file (it's a .exe file), it installed into 'C:\mercury-14.01-vs2013\
add 'C:\mercury-14.01-vs2013\bin' to Path
open a cmd.exe window
create file hello.m from Ralph Beckett's intro
add the hello.m file to 'C:\mercury-14.01-vs2013\bin' (illogical, Captain)
in the cmd.exe window type 'mmc --make hello'
but Windows brings up a dialog for Microsoft Management Console.
How do I invoke the Melbourne Mercury 14 Compiler on a .m file? Previous stackoverflow question is for Mercury 11.07.1 and refers to README files which aren't in Mercury 14.
Mercury fits into my hoped-for cross-platform toolchain:
exploratory Prolog -> Mercury -> .NET -> Xamarin.Forms in Visual Studio -> all app stores
platforms: Windows 10, Mercury 14, Visual Studio Community 2017
It matters where in the path it is. Try