I’m not sure there are many platforms that make installing software more painful than Windows. Linux used to present a worthy challenge but apt-get and similar systems are so common and so comprehensive now that it’s generally smooth. Some of the main annoyances are:

• Clicking next, next, next, next just to get the install started. Are all those screens really needed? Couldn’t we at least skip the welcome screen?
• Icons, icons everywhere and not a scrap of user control. I’m looking at you NetBeans – I didn’t tell you to put an icon on my desktop. And you Thunderbird, why the heck do you feel compelled to add yourself to my quick launch bar? Windows Media Player does the same thing. Rack off all of you. You can put a shortcut in the Start menu under programs and that’s it.
• License keys. Is there anything more futile? Why waste my time with them when I can just use the same key on multiple machines to pirate the software anyway?
• Uninstallers and readme’s in the start menu. Add/Remove Programs handles uninstalling, just give me the product and get rid of the extra crap in the menu. You’ll probably wind up with just one icon left and you can get rid of the folder altogether. Kudos to Microsoft for leading the way on this – Virtual PC has no folder and Office has just the programs in it’s folder.
• No auto-sort in the start menu. Is it really that hard to just keep things sorted by name without me having to do it?
• Unlock toolbar, resize quick launch area, lock toolbar, discover the size has changed because the dividers aren’t shown anymore, repeat the process until you get it to the right size. Anyone heard of size to fit?

I think that covers most of the issues I’ve had. It makes me appreciate how nice OS X apps are to install, even if they do hide the applications folder.