How do I change the WinGHCi editor via :set editor?

The editor is a String, so you need to escape \ as \\, like so:

:set editor "C:\\Program Files (x86)\\Notepad++"

but it's unix/windows agnostic for FilePaths, so you could alternatively do it as

:set editor "C:/Program Files (x86)/Notepad++"

As a side note, it's quicker to type :e instead of :edit; ghci will deduce what you mean from a substring like :ed if there's only one possibility.

Just came across this one. The top answer is correct however I could only get this working by adding -multiInst to the command line i.e:

:set editor "C:/Program Files (x86)/Notepad++/notepad++.exe" -multiInst

or just

"C:/Program Files (x86)/Notepad++/notepad++.exe" -multiInst

in the settings dialog of WinGHCi which opens a new notepad++ instance on :e.

I would guess that Notepad++ should be on your $PATH. If you can run Notepad++ from a newly-opened terminal, then you're good. Then use :set editor Notepad++ in ghci.