I think Windows XP supports more software and is faster than Linux, provided you disable unnecessary services, themes and simple configuration. Once yuzal XP on a computer with 512 MB of memory, while it was running Opera with lots of tabs, photoshop, total commander, player, anything else and it worked, and Linux on the same hardware stuttered, slowed down when using the GUI (except in the command line to work).
Windows 2000 has less memory, but I don't like about her, first slow loading (acrivastine), and secondly, not very good compatibility with the software.
I have a feeling that, among Linux developers decided not to worry about performance, where no one cares. While Microsoft has special people to test the system on different configurations of hardware and handing out kicks to the developers.