The cost of Windows server licenses for a 1,000+ node system would be prohibitively expensive. Many of the Cray systems run Cray's own OS. It's a bit easier to run Linux in a light-weight configuration. There is more existing software for management of such systems in Linux (both system management and job management). Most of the top (public) supercomputers (that anyone has bothered to run linpack on and publish the results) are also running academic software (think F/OSS built on F/OSS using F/OSS tools). Windows just doesn't stand a chance in that world.

How many super computers are running in your IT infrastructure ?