In windows the shell registers an object that tracks all shell browser windows. This is done by explorer.exe calling shdocvw!WinList_Init. Our explorer calls it and hence CLSID_ShellWindows works in windows however this function is not implemented in ReactOS. (And it is not trivial to implement it). There are several uses of this class. One is that if the user tries to open a folder from the desktop that is already open, this object is used to get an interface to that existing window. It is also used by SHOpenFolderAndSelectItems in order for it to open and detect the newly opened window.
NOTE: Up to windows 2k3, the shell and internet explorer shared some dlls and shdocvw is one of them. I myself hate this mess and it would be really nice if we skipped this entirely and implemented in rshell the features that should be in shdocvw but belong to the shell.