I’ve been studying German for 4 years or so now, and since I began, I’ve been pounding away with alt-code keys. Alt+0220 for Ü, alt+0246 for ö, etc. I just discovered something which will save me quite a bit of time: DeKey.
It’s a custom German keymap for Windows Vista or Windows XP, which allows you to easily type letters commonly used in German, e.g.:
ü, ö, ä, ß, «, », etc.
Instead of using the alt-codes, all you have to do is hold down the Alt key and hit the corresponding letter, so:
R-alt + u = ü
R-alt + a = ä
R-alt + shift + o = Ö
You can download the installer here; instructions on how to enable the keyboard are included in the zip file.