Every time I install a program, icons are left all over my Start menu and desktop, mostly crap I don't need. Also, enough with the EULAs already!
Most of all, I'm tired of some programs staying in memory (Java, WinAmp Agent, WinZip, etc.) to check for updates periodically, some programs adding separate Scheduled Tasks (Apple stuff, etc.), some programs checking at startup (often slowly, in the main thread: Adobe Reader, etc.), and most programs requiring I manually keep stuff up to date by watching their stupid website and re-installing when there is an update. I'm lucky if the auto-update checks even have the capacity to install the update, rather than just throwing the download web page at me to do myself. I'm also lucky if I don't have to uninstall the previous version, even this many years after the introduction of the MSI. Of course, I also have to constantly monitor vulnerability sites like US-CERT: United States Computer Emergency Readiness Team, since commercial entities can't be trusted to be honest about unpatched vulnerabilities.
Oh, there are many attempts to bring some measure of automation to installation and updates on Windows, but despite AppUpdater, win-get, app-get, UpdateStar, AppSnap, filehippo.com Update Checker, Secunia Personal Software Inspector, and others, most of them fall pathetically short.
To summarize: I spend all my time in Windows installing, monitoring for updates, updating, and cleaning up afterwards, and it SUCKS.
Stop fighting with me about who really owns my machine (premium content DRM), putting lipstick on the pig (Aero), crippling network speed when music is played back (Multimedia Class Scheduler), implementing half-assed web standards (IE7), asking users what components of an application to install (MSI), and fix the real problem with Windows: installs and updates.