Or for example you are installing and updating servers and you have to wait a long time and have kinds of terminal screens open you might want to do something else without closing or minimizing those windows. With a virtual desktop you can switch to a clean desktop and start working on something else. When you like to go back to your server update you just switch back to that particular desktop.
Also Microsoft has released a virtual desktop environment for Windows XP however not all things are like you would expect if you are used to UNIX/Linux. When you, under UNIX/Linux start a application on a desktop you will not be able to access under an other desktop. For example when you start FireFox on desktop 2 you will not be able to browse the internet with the same instance of this browser on desktop 1.
Windows will not keep the applications in a "desktop container" when you start an application you will be able to change and use this application on all desktops. For UNIX/Linux users it can be frustrating to use the Microsoft virtual desktop solution, for windows users who never used UNIX/Linux it might be a very handy tool.