Web browsing and the Finder are the only real situation in which I can think of people doing this on Windows, and I tend to agree that the most transparent solution will be to learn to use tabs for browsing. I think you will really end up liking them, if you give them a try.
As far as Finder, I could see doing the same thing on Windows as you describe... and Finder behaves like Safari and FF do on the Mac -- if you click on the Finder icon with no open Finder windows, you get a new one, but if you open a window and minimize it, and then click on the Finder dock icon, you un-minimize the existing window.
Mmmm, what I would suggest for this is probably getting used to a couple of OS X shortcuts. In Windows, if you Ctrl-click an item in an Explorer window, it opens in a new window. Apple-click does the same on a Mac. Also if you open an icon for a specific location (e.g. the hard disk icon on the desktop or a link to a folder, etc) then you will always open a new window.
So if that's also an issue, perhaps that helps?
Another thing to explore is that there are several different ways of managing multiple windows on Macs, and different people end up doing different things.
1) Hide -- if you Apple-H, windows hide. This is different from Minimize. You can get them back by Apple-tabbing to them or clicking on the dock icon. When you start an Apple-Tab, you can also press h while still holding Apple down to hide windows of non-active programs.
2) Minimize -- sounds like you already know this one
3) Leave them open and use Exposé to go from app to app. OS X is based on Unix and in the Unix world there is a much greater disposition towards leaving all the windows open vs. minimizing things. This is also essentially why OS X does not really have a feature for making a window maximize to use the entire screen. A lot of people who are more accustomed to OS X get used to having most windows take up part of the screen with overlap. So right now, Adium is running IM to the right of my Firefox window, and iTunes and Mail are somewhere in the background. ClamXAV is also running, and I have it moved over so I can see it poke out between Adium and FF to keep an eye on it. I very rarely do this on Windows but it seems to work very well on OS X.... Try out hot corners from the System Preferences -> Dashboard & Exposé. This is what I personally use and you may really like it.
Good luck!
