Unlike in windows, the case of letters does matter.  /xcon isnt the same directory as /Xcon, nor is XCON.sh the same file as xcon.sh .  Over time however, you do adjust to this change.  The main commands you need to know and their windows equivilance are below. Also, note the case of the commands. Generally the format of parameters are the same.

Up arrow-Command history
cd /directory - cd\directory
mkdir /direcory name -md directory name
cp source target - copy a:\file c:\file
mv source target -move source target
rm filename -del filename
vi - edit
commandname --help - commandname /?
halt - shutdown
reboot - self explanitory
commandname & - using & backgrounds the process, ie. turns it into a TSR.
startx - win (starts X-windows allows you to use a GUI and is required for some games).  Use Cnrl+alt+backspace to shut it if you have an unexpected problem and Cnrl+alt+- to change video modes.
make - Used when there is a makefile in the directory
sndconfig- Configures your soundcard in linux
Xconfigurator- Used to configure the graphics card and monitor for X-Windows
linuxconf-possibly the most useful utility for linux.  Configures lots of stuff.  I suggest you mess around in this but dont touch anything unless you have to/want to.  If you have enabled X-windows to load when you load linux, use this to make the default runlevel 3 instead of 5.  Vice versa to start up in command prompt.  I dont recommend booting up in X-windows.
kill- closes programs that have jammed up.  similar to the 3 magic keys in windows ;)

And I can honestly say, that linux is starting to become easier then Windows to use as it crashes less and already has everything installed.