The Windows world at the time was a big mess of nonstandard cabling, messy drivers, sketchy quasi-shareware applications vying for presence on your desktop, while the Apple world was plug-and-play over a high-speed bus that came standard, and the music management experience was top-notch. And while there was some good hardware coming out of Korea to give the iPod a run for its money, the integrated Apple experience was without match.
For Windows, Apple bundled MusicMatch Jukebox at first, but then made iTunes available on Windows, which became their foothold that would later set up the iPhone for success.
By the time Microsoft caught up with WinXP and Windows Media Player, Apple had already stolen the higher end of the market, leaving WMP largely in the domain of cheap flash-based USB sticks that could only fit a subset of your songs. Then everyone pivoted to a DRM-laden storefront, making switching costs high. A later effort to refocus their first-party efforts with Zune resulted in an incompatible DRM ecosystem, and fizzled on the market.
The iPod, in many ways, foreshadowed the Apple tactic that would become famous from the later iPhone: take the state-of-the-art in a particular market, pare it down a bit, endow it with tasteful industrial design, make sure it has a strong, ideally "frustration-free" integrated environment to take part in, give it an upmarket but justifiable price, and market the heck out of it with aspirational brand advertising.