Some things which irritate me about Windows explorer:
Try the following:
1) Select a bunch of files on the desktop. You'll notice that the files are all duly highlighted to indicate that they are selected.
2) Select a file which is in an open window. This file is highlighted, as you'd expect. The files on the desktop are no longer highlighted, so you think "fine, those files are no longer selected".
3) Drill through some more folders in the open window for a while.
4) By this point I want to drag one of the files on the desktop into my open window, so I click and drag the file in one motion.
5) Oh! It turns out all of the files on the desktop were selected, even though they all looked unselected and the lot ends up in my open window. Yay!
Other than that, I constantly get problems with files refusing to auto-arrange themselves even though that's the view I use.
I delete files and they still show up on screen making me try to delete them again, which gives me wonderful error messages.
Moving files around in the Start menu requires me to exit the Start menu and click on it again to see the changes. Even though I dragged a file into a specific position it usually ends up at the bottom of which ever directory it resides in.
The drill-down function of the Windows Explorer wastes a huge amount of horizontal space as soon as I go through more than 3 sub-directories. Also, the expand "+" buttons are ludicrously small and nearly indistinguishable from an un-expanded button when using a resolution higher than 1024x768.
The close, minimise and maximise buttons are jammed so close together I usually end up maximising a window instead of closing it or vice-versa.
Windows forget the view settings I applied to them at random. Sure this happens in Mac OS X too, particularly during the 10.1 and 10.2 days, but Windows XP (and 2000) is many times worse in my experience.
Lack of keyboard shortcuts - there is no keyboard shortcut for creating a new folder (AFAIK), and no way of getting "properties" without using a right-click.
Speaking of properties, it really irks me that this is usually the only way to make any useful changes in almost all applications. There are usually no direct menu equivalents.
Completely inconsistent save/open dialogue box windows; some are res-izable, some are not; some have shortcuts to the desktop/my documents/etc, some do not; some remember the last folder you were in, some do not. etc...
Preferences dialogue boxes which use dozens of tabs - so many that they stack on top of each other. This leads to awesome confusion when you click on a tab on the top row and all the tabs in that row drop to the bottom of the window, shuffling all the other rows around. Then it's time to "guess where the hell that other tab went".
And the one thing which really sums up the shitty design of the Windows UI has to be the way you edit your TCP/IP settings. As follows:
1) Start menu -> Network Connections
2) Right-click on the relevant network you want to configure.
3) Use the pointlessly tiny little scrollbar to show TCP/IP at the bottom of the list and highlight it.
4) Choose properties (again!)
That's about 7 or 8 mouse clicks. I can do the same in Mac OS X in 3 mouse clicks. I should also mention that at this point I'd have about 3 windows open, none of which show up in the task bar.
Okay, rant over.