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I wouldn't call windows UAC any more user-friendly -- sudo has graphical equivalents (gksudo, i.e. graphical password box.) BTW sudo and the whole idea of limited privileges isn't a Linux thing, nor a GNU thing either, it's a *Nix idea, and has been in existence before GNU came about. I find it funny how it took M$ about 25 years to get an equivalent authorization system working. Even simple multi-user systems (i.e. the reason why sudo was invented) are quite recent for M$, even though under XP it is slow as a tortoise, and Vista crashes when trying to log two users in.Run as a limited user like Microsoft intended you to do after you set up the PC the way you want with the Administrator account :| UAC will show a password form when you run as a limited user instead of under the Administrator account. It's basically just like sudo but it's meant to be more user friendly for the most part, and sure UAC in Vista can be a PITA. I leave it on though and it doesn't bother me at all. Windows 7's UAC is much less annoying. Of course, I'm sure everyone wishes that Microsoft set up everyone like the Linux folks do by running everyone as Limited user from day one.
I've given people Linux Distros to use when their Windows install goes FUBAR and I have to reinstall it. For the most part, users can find the web browser and the applications, but they won't have the slightest clue as to how to use the terminal until I help them or they spend some time on Google.
The other thing you uncover is the need to "set-up" a Windows system as admin... Just shows how badly set-up the system must be if you (a) can't set up well as a limited user using sudo to do admin commands (b) you need to do so much setting up in the first place.
Also, shell knowledge isn't required with GNU/Linux nowadays, it's possible to use a system without any knowledge of things like that. However it is highly convenient, allowing you to work much more efficiently.