Check again. Microsoft DOES have a Registered Trademark on Windows.
http://www.microsoft.com/about/legal/en/us/IntellectualProperty/Trademarks/EN-US.aspx
You are correct that they do not have one on "Word". Or "Office". (only on their icons)
Actually it's not a trademark, notice how it uses the (R) logo instead of the (TM) logo like on other products. It's restricted, referring to it being federally registered. Anyone can federally register anything, but like someone else said, they don't have grounds to sue Anderson for calling their product "Windows", and when they tried to sue the software developers behind "Lindows", it got overturned, specifically because they had no ACTUAL trademark on Windows, and it was a generic term that could NOT be trademarked. They had a Trademark (as in TM) from 1983-1993, but after that, no.
-John
http://www.eweek.com/c/a/Linux-and-Open-Source/Lindows-Wins-a-Big-One-in-Windows-Trademark-Suit/
A highlight:
"Although Microsoft owns numerous registrations for trademarks which include the Windows designation, it only gained these without disclaiming exclusive rights in the Windows term by claiming that the term has gained trademark distinctiveness by reason of its advertising, marketing and sale of goods under the mark, a so-called Sec. 2(f) basis," Graham said.
"But if the jury determines that the windows term was not only merely descriptive, but was in fact generic prior to Microsofts use of the term, then no amount of advertising, sales or secondary meaning would entitle Microsoft to monopolize the generic term," he said. "Thus, this is an important victory for Lindows and a defeat for Microsoft."
Spoiler alert: That's exactly what happened, the Jury determined that Windows was Generic, and no amount of Advertising could make it otherwise. They can and will keep putting (R) on it, but they lost that suit to a tiny open-source company, they aren't dumb enough to try again. In fact, Linspire used Pro-Bono lawyers IIRC.