I wanted to uninstall something, so I clicked through the Start Menu, and then hunted down the Control Panel out of a confusing/overwhelming menu of options. Then the "Add/Remove Programs" caption had been ellipsised out, but thankfully I remembered that "Add or Remov..." did what I wanted. Meanwhile, there were popup ballons freaking out the whole time about Windows updates and moving junk on my desktop (the latter one more than once).
A website wanted Quicktime and at first I was like a-ha! I can actually use Quicktime now that I'm on Windows, but it turns out that not only does Apple do a Real-style install for their codec (check out how small the iTunes-free download link is), it's 30 megabytes either way. How can you make a codec download that's 30mb? Oh, by putting crap in my tray and stealing all my mime type associations and popping ads for iPods!
And how come everything still has different-looking installers? Even Linux has a unified interface for that now... Oh, and there's another, different "updates have finished installing" window asking me to reboot again.
It kinda freaks me out that the Linux UI will soon compare favorably.