This is a common misconception. Look in Activity Monitor (search it in spotlight) to find all sots of apps running windows, letting you click on stuff, etc. I think the app responsible for much of window management is WindowServer.app, but others probably also participate. I do, however, know for certain that Finder has almost nothing to do with that. Otherwise, it would log you out and do weird stuff each time you relaunched Finder.
It says "relaunch" because it is simply convenient for a file manager to be open, and because OS X may use it for necessary functions as part of the OS. For example, Finder helps deal with reading flash drives that are attached.