Getting used to work down in Windows land is somewhat traumatic for a Unix dude like me. But I do find things that makes it bearable, for example I'm used to have the pesky Caps Lock key remapped to Esc, and Vim tip #75 told me how to do that down in Windows. I like Vim. If you're GNU Emacs or XEmacs encumbered you might want to use the same tip to remap Caps Lock to Control instead.
Microsofts PowerToys come highly recommended by yours truly. With them I have set up 4 virtual desktops and "sloppyfocus" with 250ms autoraise. It's nearly as good as FVWM2, though quite slow to switch between virtual desktops. There's many other handy features hidden in PowerToys, for example if you use Internet Explorer as webbrowser (and please don't, use Mozilla instead) you can make it use Google, or anthing else for that matter, instead of the braindamaged MSN search it defaults to.