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Windows is no different than other commercial operating systems.

Linux is one of the few cases where package management real works nicely, assuming all you need for your work is available as package.

That's exactly in line with my experiences as well. Getting set up for OpenGL development on Linux was as easy as "yum install a-bunch-of-devel-packages" and coming back in ten minutes. It took a couple of days to get everything squared away on Windows - although a large part of that was that I didn't know how the linker worked on Windows, and I had to figure that out.

To set thing up on Windows, I had to download the source for each library, load it in Visual C++ (and I got to deal with the fact that some of those libraries use old build systems that need to be adapted to VC 2010's build system, that don't always actually get imported correctly). After building them, I had to copy the resulting libraries and header directories into specific system directories to link them into my own project, and fiddle with the include and linker settings in VC.

I also got hit by a 32-bit/64-bit issue; it turns out that you have to copy 64-bit libraries to a different directory than 32-bit ones, and that getting a source check-out of a library that uses an old build system may or may not be buildable in 64-bit (and even when you can, you might have to go to war with VC Express to get it to actually happen). I never actually resolved that issue, but just gave up and built my code in 32-bit (on 64-bit windows 7, in 2011).

This question also actually came up in a talk I did about learning Ada a few days ago. When asked where to get an Ada compiler, I essentially said, "On linux, just type <package_manager> install gnat. On windows, you get to fuck with Cygwin."