Umm, applications are (overwhelmingly) single entities of their own. They look and act as a single icon in the Finder, 99% of the time you install them just by dragging them to where you want to keep them and uninstall them by dragging them to the trash. Similarly, things like the filetypes supported by an application are inherent properties of the application itself. Compare and contrast with the Windows implementation of things like file associations a program writes file association information into the Registry, which the Explorer consults. You can keep applications on removable media, move them wherever you want in the filesystem, and nothing breaks. From the other side of the coin, the metadata heavy filesystem allows individual files to be associated with specific programs, rather than just generically by filetype.
Ummm, forget everything you know about device drivers, etc. There's no equivalent to the 'System' control panel and you never actually update things like graphics card drivers yourself. Apple roll what that stuff into the OS updates.
OS X is much more flexible about the relationship between windows and applications and for most purposes has no concept of a child window. The traditional way to do multidocument applications was to put all the control palettes (eg, for Word that's stuff like the current font, level of indent, buttons to insert bullets, etc) in their own windows and give one window each with no adornment to each document. That's giving way to windows with a few really significant controls at the top and context-specific inspectors. For task-centric rather than document-centric applications, most will continue running without having any windows open at all. Apps like Mail treat things like the Inbox as merely a view into what the app is doing rather than the app itself.
Other than that, I guess you'll just be able to enjoy some of the OS X stuff that is currently ahead of the Windows functionality, the menubar search being the main one I miss.
