As a long time Linux-only user I had a really hard time re-learning Windows until I remembered that a good number of my favorite "Linux" programs were available for MS OSs too. Here are my favorites.

• PuTTY is a free suite of SSH/SCP/SFTP programs for Windows and Unix tho I've not tried the Unix version.
• pidgen used to be called Gaim, and it's a free, cross-platform, multi-protocol instant messenger program. Using one instance of pidgin you can be logged in to multiple usernames on multiple services like AOL Instant Messenger, Yahoo Messenger, MSN Messenger, ICQ, and Jabber.
• The GIMP, or Gnu Image Manipulation Program, is a full featured graphics program that can be used for image creation and photo retouching among other things.
• Firefox is the browser you should be using right now. Go get it if you're not.
• X-Chat is a graphical IRC client with all your favorite bells and whistles.
• Pan is a very comprehensive Usenet newsreader with message filters and binary message decoding.
• Vim! Your favorite text editor is available for Windows too! No more Notepad! And the GUI makes it easy for beginners who haven't learned ":q!" yet.
• Last and most certainly NOT least we have Cygwin is a Linux-like environment for Windows starting with a bash shell. It comes with a great installer that lets you pick and choose the Gnu/Linux tools you want and helps you update your packages later. Cygwin even has an available X.org X11 server to let you display GUI apps from your favorite Unix server right to your desktop.