There's just as much arbitrary difference you have to look up if you're used to a Mac and using Windows. Why the hell does "Display" (which you think would change monitor settings) control your desktop background image (and why is it called a "wallpaper"?) What's the GUI to figure out your IP address? (wait, there is none...)

If you close all the windows of an app, clicking the app icon in the Dock usually opens a new window. It does for Safari at least. Anyway, the main difference is that Windows doesn't consistently differentiate between windows and applications, and Mac does. On the Mac side, a window is just something that's opened up by an application as an interface, whereas on Windows, the window is the application, which is why if you need to open more than one browser window you have multiple instances of Microsoft Internet Explorer running, but it's really okay because secretly they're all running off the same DLL's. Or something like that.

A running app takes up a certain amount of memory it needs for performing basic startup tasks and loading menus/bundles. After that, each document takes a tiny amount of extra memory. For example, Safari with no windows takes about 25megs of memory. This shoots up to about 100megs on opening one window after which it only takes about 10megs of memory per tab (this depends on the size of pages you're loading, of course).