How to connect to MongoDB in Windows?

Did you create the default db path?
It defaults to "/data/db directory (or c:\data\db on Windows)"
Source: http://www.mongodb.org/display/DOCS/Starting+and+Stopping+Mongo

I found that when I got this error it wasn't because I didn't have my default db path set up. It was because I was trying to run mongo.exe before running mongod.exe.

1. As Admin, create directory:

   mkdir c:\mongo\data\db
   

2. As Admin, install service:

   .\mongod.exe --install --logpath c:\mongo\logs --logappend --bind_ip 127.0.0.1 --dbpath c:\mongo\data\db --directoryperdb
   

3. Start MongoDB:

   net start MongoDB
   

4. Start Mongo Shell:

   c:\mongo\bin\mongo.exe