Tracking a single remote branch as a local branch is straightforward enough.
$ git checkout --track -b ${branch_name} origin/${branch_name}
To do the same as tjmcewan's answer but on Windows, call this from a batch file:
for /f "delims=" %%r in ('git branch -r ^| grep -v master') do git checkout --track %%r
Or this from the command line:
for /f "delims=" %r in ('git branch -r ^| grep -v master') do git checkout --track %r