Single menu bar

In MacOS, there is only one menu bar visible at a time, at the top of the screen. This can be confusing, especially when you have an application focused, but it has no open windows. In that case, you might see another window showing through from a different application that is further behind, but the menu bar doesn't match.

In Windows, each application window has its own menu bar.

Update: You can use the MenuEverywhere utility to add a menubar to each window: http://www.binarybakery.com/menueverywhere.html