On Windows, new users may notice that the arrow keys end visual mode rather than extending the selection.
If this happens, it is because of the
behave mswin line in the default _vimrc installed on a Windows system.
The best solution is to simply remove this line from the global _vimrc, or to create your own _vimrc without it.
However, if you like most of the effects of
behave mswin (see :help behave) and only want to "fix" the visual selection behavior, simply put this into your vimrc after the