I've had no problems with the microsoft firewall - well turning it off that is - since I run my another firewall.
Anyways - the reason why microsoft goes "overboard" some times (often) is because of the "ordinary" computeruser - the ones that uses the Internet sometimes, uses the computer as a typewriter etc - generally speaking the people who know little about computers.
These people are in a massive risk of getting their windows installations messed up if they need to fiddle to much with settings.
They are in great risk of spam, virus, trojanhorses, phising, spyware, malware and anything else floating around the Internet and so on.
They are also the people that don't know the ins and outs of Windows.
Thus Microsoft has to support these users, because the "experienced" users will find ways to turn off the things they don't want whereas "casual/common" users can't figure out how to turn things on that they do want. (well - some can, but then they may be experienced instead)
These latter users are also the ones that have greates need for the visual styleing of Windows.
That is why many "geeks" go with Linux because of the increased control and many casual users stay with Windows for the massive pre-installed items.
It is possible to remove almost any component from Windows (although - I think minimum IE4 is needed somewhere) such as Media player (I belive).
You need to fiddle with an .ini file and change a setting in there so the components becomes visible in the "add/remove programs" in the Control panel.
I personally still run Microsoft/IE/Office etc at home as well, because I can't really be bothered switching to and learning Linux for both private reasons (time, compability with software/hardware, no problems with Microsoft) as well as professional (.NET development).
And I do not want to dual-platform on my computer at home because I have no reason to do it.
I just remove what I don't want from windows (Messenger for one *grrrr* - although I have gotten MSN and ICQ now due to work

- but messenger still goes away fast. I don't want that on my computer) and change various settings in the registry.
And then I add software as alternative to the windows software I don't want to use (Mediaplayer for instance).
Insert signature here.