Well, if you go to a store and buy a computer prepackaged with Windows, the vendor probably has already put all the needed drivers etc. there so it "just works" out of the package when you power it on. This doesn't mean that nothing was done after installing the OS and before packaging the computer for sale; people just acknowledge that a just-bought Windows computer works with the hardware right away and a just-installed Linux might not. Badly pre-installed Windows can easily make you install several drivers before getting anywhere - Vista does, by the way - and on the other hand if you take the time to install Linux and the needed drivers for the specific hardware before handing it out to the customer it works just as easily.
Most people just don't install Windows themselves these days.
The other explanation for this is, as you might have guessed, that Microsoft has a longish history of making desktop operating systems, and during that time (be it long or not, all the same) they have done a lot of deals with manufacturers and computer vendors - which has lead to Windows having quite a good hardware support (excluding Vista for now) for the hardware it's installed onto. Not for rare components, but they don't sell it for use with rare components unless you do it yourself, in which case you find yourself in hunting for nonexistent drivers just like on Linux
But really, if nobody ever complains, nobody ever fixes anything. Thus it's good people complain; if six billion people start crying about something, it's possible something is done for the matter, but if only two complain and the rest stay silent, nobody is interested.