Windows is just a computer program. It controls all the parts of the computer. When you run computer programs, they run in their own little "Windows" on the "desktop".
In the past, in order to run a computer program, you had to type a command on the DOS command line.
C:\>PROGRAMS\MATHTUTR.EXE
This command would tell the computer to find the computer program named MATHTUTR.EXE in the PROGRAMS folder and run the program.
Windows replaces the tedious typed commands with little pictures (ICONS) you click on to run the program.