The simple answer to your question is- yes, users want multiple windows. Based on research, according to the article, the average user has 4 active windows on screen at any one time. For me personally, I kind of see this question as a no-brainer. When was the last time anyone only used one window?
Interesting discussion over on Stackexchange UX about Windows 8 and the lack of actual “windows” in the new Windows.
The discussion revolves around Microsoft’s choice to move away from the traditional tiled window desktop and to the Metro interface. The argument is that by switching to the full screen by default model in the future that users will be less productive as productivity seems to increase with window count.