Virtual desktops for Windows
technet.microsoft.com
technet.microsoft.com
From the description, the limitations that annoyed me back then persist - you cannot move windows between desktops, nor can you pin a window to all desktops at once.
(What is worse, though, is that it is not possible to set an arbitrary windows to always be on top. The Win32 API allows this, but an application has to ask for it, while on many Un*x desktops, this is a function of the window manager.)