<MontyPython>Fud Fud Fud Fud Fud Fud Fud Fud...</MontyPython>
You have "files" in %WINDIR%, %SYSTEMDIR%, the registry, the application files, the menu structure, the quicklaunch folder and other places in Windows.
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It does not matter upon which OS your application is installed on, but how your application is designed. For example, you could just have one configuration variable in %OS_OF_CHOICE_CONFIG_AREA%, and have that point to your application directory. Now you just have to get your executable able to be accessed through some sort of a user interface ($PATH, %PATH%, menu structure, etc).
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In addition, Windows is based on the model of including all functionality you need for your application in one executable (shared libs / dlls as an exception), whereas Unix is build on the reusable tools model. There are more interdependancies, so you either need to have a fixed location for common tools, or you need to have some infrastructure to be able to find the tools you need. The re-use model requires that you be able to find the tools.
Of course, I am probably just falling for a troll :)
--MidLifeXis