You probably know all this stuff, but I already typed it out so I’m going to leave it for others.
Raw files contain all the pixels the camera saw at the time the picture was taken. Even the best quality JPEG files are compressed to some extent, and that leads to a loss of image quality. Raw images from fancy enough cameras also have more color depth. You have to be pretty detail-oriented to notice these things when looking at a raw image side-by-side with a high quality JPEG though. And as you noticed, raw files are huge when compared with their compressed brethren.
Raw files can also contain information about the post processing the camera did for you—things like white balance and exposure compensation. This is a little more useful, because you can mess with those things directly in a fancy enough editor and the software is starting from the original, unadjusted image rather than an already slightly processed version.
For what it’s worth (less than what you’re paying for it as I’m a pretty rank amateur :), raw is more trouble than it’s worth except when it comes to low light situations or if you are really, really serious about perfect color.
And after all that, I can’t actually answer your real question. I’ve never done any work with raw images on Windows. Photoshop or Lightroom would be the default choices if you can afford them I guess. People used to speak highly of Paint Shop Pro , but I haven’t used it in years (i.e. before Corel bought it). If you don’t want to mess with the curves, etc. and just want to convert the images to a more accessible format, you can use IrfanView.