Disclaimer: Linux is still my favouritest child.
I am currently back to my Windows machine because I managed to screw up my Linux box's RAM (how I did that is a story for another day). I thought I would make my Windows experience as Linux-like as possible and installed Privoxy.
Privoxy appears as an icon in the system tray while running. Any configuration can be done by right-clicking this icon and choosing a menu option. Example: Edit->Main Configuration opens Notepad with the main configuration file [*]. A similar option opens the user actions file. Starting and stopping Privoxy is also possible via a menu option. Way more simpler than how it is done in Linux.
It's not that difficult to perform the same tasks in Linux, but even someone who knows how to do them would definitely prefer an easier option. What is especially difficult to fathom is why the Linux version doesn't have these options, when the developers were thoughtful enough to include them for Windows.
It is my humble opinion that unless we manage to make all applications as easy to use in Linux, Windows will continue to dominate the desktop. I am aware that there are some applications that do get this right (KInternet comes to mind) but this is not yet a standard feature for most of them.
[*] I don't even know where this file is stored -- no futzing around with /etc/privoxy/config or /var/lib/privoxy/config.