Windows isn't immune to problems. It's a bit easier because every Windows
set-up is approximately the same (since there are no varying Windows
distributions), but they sometimes happen.
As a minor example: when I used Windows Vista on my laptop, I noticed that
any attempt to run the "unstable" version of SuperTux (Milestone 1.9), I
would get a BSOD. I was never able to diagnose it.
Normally, under most GNU/Linux distributions, installation is just as easy as
on Windows, if not easier: go to the package manager and click "install".
The problem here is while Windows is always the same, allowing a "hands-off"
approach from Microsoft, GNU/Linux system developers have to have a part in
making sure programs work. When they don't help with that, you rely on the
program developers, and they usually give more generic solutions, such as
stuffing the binary in a tarball (as has been done here), and you need to
figure out the solution if there's a problem that the program developer
didn't anticipate.
So really, the problem isn't that you're using GNU/Linux, but rather that
GNU/Linux isn't unified and you're using a relatively unpopular distribution
which is underfunded.
