At home I have Ubuntu 12.04 installed on my Toshiba and I use it most of the time. Rarely I reboot my computer to Windows 7 to play some games. At work I am using a workstation with Windows 7.
Some days ago I wanted to update my software on Windows 7 at work. I use some tools, which are available for free, for instance Freemind, a mind mapping tool. In Ubuntu I would type a proper apt-get command in the terminal, but not Windows. In Windows I have to update it manually. Even when an application does provide an update mechanism, it has to be invoked manually. There is no central place or database where you hi ‘check for update of my installed apps’ and hit accept and then the software gets updated.
Some year ago, when using Linux, yes, it was a pain the ass to use some software. Now, with Ubuntu and apt-get, that problem was solved. If an application is available free it will be probably in the software repository. So, we get another extra feature: search for software. No need to search the internet for download site. When an application isn’t in main repository it can be in another repository, which can be added to the list of sources, which apt-get searches through.
Some packages can be downloaded via a website (deb packages) and when installed, they add it’s repository information to apt-get’s config files. Next time apt-get packages list is updated, this repository will be checked too. Google Chrome does that for example, once installed apt-get checks for new versions of the web browser along with other software.
Also the problem with dependencies. Yes, some years ago, when one had to install from source, there were mountains of problems. Now, many packages, even when one has to compile and install it from source, provide routines to generate deb or rpm packages. Or the software creator maintains his or hers own repository.
In Windows, there is no central repository, or I am not aware of such mechanism. When it comes to managing software installations, then with the built-in mechanism, Linux distros are way ahead of Windows.