I've used Linux exclusively at home for the last 10 years. We deploy Windows where I work. This is not normal. Despite my disdain for Microsoft, the setup process on Windows is straight forward and easy. It's one of the things Microsoft gets right.
This idea of OS superiority is pointless. Every major OS has things it does better than the others. We should look at those things to improve Linux in areas where it lags behind.
It's not complicated though. It's just different than windows. It's also not an issue with Linux. Thunar just doesn't behave the way you want it to. Files in GNOME works fine, but wildcards don't require a * to search.