The thing I would want to do is make it more modular. separate kernel, user interface, system utilities etc. This would make open up more possibilities to interchange kernels, interfaces and hardware support and eliminate strange situations like not being able to remove IE. Granted, UNIX already does this, but I think that it is preferable to having one giant monolithic OS. It might be that this is a bit of a too fundamental a change. In that case, I would want to change the user interface. Make sure that the user interface can be interchanged with different UI's. This would make the time in windows way more tolerable.
The windows file explorer could really really be improved. The UI is a bad and it throws an error half the time when I try to copy anything.
Never had that problem to be honest. I personally miss the possibility to tab windows and to use 2 panes next to each other. Explorer++ does the tabbing (don't know about the panes), but given the fact that I spend most of my time in Arch anyway gives me little reason to install all kinds of little programs in Windows :P