Because you have to have to WORK at understanding alternative OS's, unlike Windows, which practically wipes the user's ass for them.
tl;dr: Windows is for lazy bums who can't be arsed to care.
Heh, which I felt is a problem all along - the easier the OS gets and the more it does automatically, the less the user ends up learning.
Still, that said, if I were to compare the complexities of installing an OS, updating it, and installing applications, and say compare Windows XP to Ubuntu Linux, Ubuntu is way, WAY easier in every category.
I think the biggest obstacle is "change" - people are used to Windows. We've been cursed with having it on our PCs for nearly 20 years, so we're talking entire generations that have grown up with it and know nothing else. To change to a completely different platform is very intimidating and people tend to avoid it.
Interesting thing though is that it's getting that way anyway. Windows XP tried to mash up the Explorer shell a little, which most people disliked (and you can set it to "classic" mode to go back to the older 98/2000 style interface). Vista really changed up the interface, and I imagine Windows 7 does as well. In staying with Windows, people will have to accept change anyway, so much of the built up apprehension of trying something different is unfounded.
Besides, the beautiful thing about a lot of the other OS's out there is that they come on LiveCDs, so you can boot up the CD and actually see, use and play around with the OS without even installing it on your PC, and that way know if it supports everything and is something that you want to actually go-ahead with.
There are reasons though that Windows will stay on some people's systems, and there always will be. Games, for one, is the big one. Until games are made for other platforms (which is unlikely unless they become a larger market share), Windows is really the only choice for games. And there are also other applications like Photoshop or Visio which are not made for all the other OS's. And then there's just user preference - some people just like it, even having tried other stuff. I mean... some people liked the Chevy Vega, even though every one knew it was a crappy car.
And some systems are so proprietary that nothing else works properly on them or supports them.
I have Windows on two of my machines - my laptop, because it falls into that mega proprietary category (can't even run Windows 2000 or 2003 on it, even though they're based on the same kernel as XP). And my main PC because it's job is Games.