I come from a DOS / Windows background, but now use Cygwin as my primary interface on Windows, and also regularly use Nexenta (Debian-flavoured Solaris) and Linux. I find the Unix way more understandable, particularly when things break.
Only the most simple of Windows applications get away with putting everything into a single folder under $PROGRAM_FILES. More usually, lots of stuff is in $COMMON_FILES, and may or may not be shared. And these common files are tied in to the program files via a giant complicated global variable, the registry; the program looks up ProgIDs and CLSIDs to instantiate COM objects, so the registry becomes a very sensitive source of failure, particularly when you have different versions of $COMMON_FILES that break the various linkages.
Furthermore, these days Windows Installer is often used to manage the Windows equivalent of packages. These too are sensitive to corruption; if you end up missing the MSI files from c:\windows\installer for one reason or another, you can easily get into a situation where you can't even reinstall an application cleanly, because the installer notices that you already have it installed, and tries to uninstall it first, but fails (usually quietly, in the middle of the installation, where the progress bar goes into reverse and at the end you get a cryptic and unhelpful error message). To fix this, you must venture forth once more into the registry, find out the cryptic (hex) name for the relevant package, and surgically excise it. Not even the MSI/MSP/etc. files have meaningful names. It's tortuous.
All that said, I by far prefer working in Windows to any other OS. If it had a faster performing yet fully POSIX compliant layer as well integrated as Cygwin (i.e. not off in its own parallel little world like SFU/SUA), it would be even better.