compiling software on Windows is extremely slow.
Really? I hadn't noticed that. Do you have a particular example that can be tested? ("download this compiler, this sample program, and run this command.")
Now, it seems that the usual compile process with its myriad tmp files and helper-programs interacts REALLY BADLY with some anti-virus software, but I'm not sure that you can blame windows for that.
I already did that test several times and WIndows is always several times slower on the same system. Besides anti-virus software (which is necessary so do blame Windows) the task switching, disk caching and memory management used in Windows are not as good as the typical Unix system and it shows if you are going to start/stop many processes and open/close many files. On really large compilation runs task switching alone can eat up a significant amount of time (the difference between running for 30 minutes or 50 minutes).
Totally off-topic, but I couldn't resist.
Anecdotes aren't data.
Unless you dual-boot a machine it's somewhat hard to compare apples and apples. The simplest demonstration I can come up with to show comparable compilation times for a "large" project is the Wireshark Petri-Dish
buildbot that provides cross-platform test compiles of changes before they are merged into master (so expect breakages).
There are two build slaves, one Ubuntu using GCC, the other Windows using Visual Studio 2013, both are Amazon EC2 spot instances (so available CPU cycles can vary a bit) and both compile the Wireshark codebase in roughly the same time, approx. 14 mins.
The build slaves have slightly different build sequences, but the first Ubuntu compile step is roughly equivalent to the Windows "compiled with MSBuild" step.
So in this sample of 1, there's not much in it. Other examples would be interesting.