Each device sets its own IP and both have its uses.
Setting the IP in Windows (or any OS really) provides the local IP address, while setting the IP of the router sets the external address, depending on your network wiring configuration. Each serves its purpose, so what are you trying to set?
Normally, the external IP is given by your ISP and most likely you'll use DHCP there to get whatever address it gives to you, unless you're using a dedicated connection. The local address is entirely up to you, because it's private to your network.