Something else that I find confusing in Windows is where to edit the preferences for an application. Under Linux, this was always located in the same place: the "Edit" menu. So to edit the preferences for a program, I clicked "Edit - Preferences".
In fact, the "Edit - Preferences" menu item is dictated in the GNOME Human Interface Guidelines (Standard Menus.) So it's the same in every Linux application I used under Fedora.
Not so under Windows. It's under the "Tools" menu. It just doesn't make sense to put them there; the preferences and settings are not tools.
To add to the confusion, every Windows program calls the preferences and settings by a different name. Under Internet Explorer, it's "Tools - Internet Options", although you might think that menu item controls only your proxy settings (which it does) and not your home page and browser history. For Windows Explorer, preferences are in "Tools - Folder Options". Firefox calls it simply "Tools - Options".
Don't get me started on Office 2007 - it's a completely new paradigm! There are no "menus" in Office 2007, at least not as you normally think of menus. Instead, you access the settings for, say, Word 2007 by clicking on the program icon in the upper-left corner, then the "Word Options" button. It's a freaking button here instead of a menu item, like every other Windows program, but at least it's labeled to indicate what it does.