One reason is that PHP performs badly on Windows compared to Linux, this is something they (PHP and Microsoft) are working on but don't expect miracles.
One other reason is eZ Publish, it uses a lot of filesystem calls, something NTFS (file system on Windows) handles a lot worse then most filesystems on Linux.
Both on Windows and Linux you should look into tweaking PHP, and adding a PHP accellerator (APC or eaccelerator).
More here:
http://ez.no/developer/forum/general/ez_publish_performance_optimisation_faq http://ez.no/developer/forum/setup_design/improving_ez_publish_environment_and_performance
Thanks, André. I'll try eZ Publish on Linux next week and try compare it.
About filesystem (by the way - i know what is NTFS :) ) - is it have sense placed eZ on RAM disk? The volume of it is not large (32 Mb), so, i can try create RAM-disk... What you think about it?
You need a lot more then 32 mb, becuase if you want it to have a effect, you need to have the cache ( but not neciserly the var/*/storage ) on the ram disk. An I recently saw 64Gb used for cache only on a medium install with 9 siteaccesses.. (even though some of the cache size issues on installs with many siteaccesses are looked into).