I'd have to say Windows 7 is not too difficult too bad these days.
The biggest problem I have always had with Windows though is the way it manages applications. There are far too many install vectors, from a single binary to various packaged installers.
Microsoft should have secured this better and reduced the options to developers for installing applications. All it does is confuse the user, and make it more difficult for heuristic scanning to determine what is legitimate or not, plus it allows developers to be lazy.
The way Linux/Apple have gone with Applications as packages is a much smarter idea.
Even with Windows 7/Windows 2008 Microsoft still haven't really addressed this. UAC while good doesn't address the underlying problem of the heterogeneous environment(or mess) that Windows applications are.