Many devices require a driver on Windows. They are usually automatically detected in Linux and if they happen not to be, it might be difficult to set up.
Finding device info[]
If you can't see name of the device in the device manager, you can open the properties window for the device you want to find a driver for and go to the details tab.
In Windows XP it should already be showing "Device Instance Id" and on Vista it will be under "Hardware Ids". The value should start with something similar to "PCI\VEN_8086&DEV_10F5&SUBSYS_".
In this particular case, the vendor id of the device is 8086 and the device id is 10F5. You can then look up the device on The PCI ID Repository (yubnub command: lspci 8086 10F5).