How to connect to MongoDB on Windows 8
In the directory that you ran mongo.exe you should also see the executable mongod.exe. 


mongo.exe is the shell that connects to the server/daemon that allows you to issue commands and query your databases.
mongod.exe is the actaul mongo server/daemon.


First run mongod.exe to start the server then in a new command window run mongo.exe. The shell should now connect to the running server. For production you will want to look at setting mongod as Windows Service instead of just running in a separate command window.