I think the reason why more people don't setup their own accounts on Windows... is because they just don't know how it all works. They get their computer, probably set it to login automatically, and they never think about it again.
I almost always have a secondary user account on my computer, so whenever my son wants to look something up on my computer, he can do so without accidentally closing one of my applications... which I leave open all the time.
The best thing about setting up a separate account is that you can use a regular account without admin privileges, so you don't have to worry about them breaking something.
For kids, Windows has wonderful family safety controls as well. It's just surprising more people don't use them.