It works for me at present. Perhaps your PATH environment isn't completely set, or there is something in it that shouldn't be (?)
From a fresh install of nothing but gdal-python
and prerequisites, Start > Run > cmd then:
c:\>path=%windir%;%windir%\system32
c:\>c:\osgeo4w\OSGeo4W.bat
OSGEO4W home is c:\osgeo4w\
-={ OSGeo4W Shell Commands }=-
---8<---snip---
GDAL 1.9.1, released 2012/05/16
c:\>gdal_calc
gdal_calc.py [-A <filename>] [--A_band] [-B...-Z filename] [--calc <calculation>]
[--format] [--outfile output_file] [--type data_type] [--NoDataValue] [--overwrite]
c:\>
host system is Win7 Pro x64.