I'll preface what I'm about to say by noting that I've been using Windows since 3.11 and Microsoft products since MS-DOS 5. That being said, I've never considered MS infallible (ME demonstrated that handily enough).
Back when those were the prevalent OS's you had to go to a store to buy software, or use a magazine to purchase it (anyone else here remember Egghead?). This however hasn't really been necessary for years however, a fact readily demonstrated by the likes Steam, ITunes, Amazon, Good Old Games and Digital River (the people behind a number of download systems including EA's direct download). You'll notice a name missing from this listing, Microsoft. This is not to say that Microsoft doesn't have a download server with the ability to purchase stuff (and some of the fastest servers I've ever downloaded from), it's just that the service is terrible and barely qualifies as service when held against the likes of Steam and ITunes. It's somewhat closer to GOG.com's system but without the high quality organization and sense of coherency.

The big problem here is I can't think of any truly justifiable reason for this, linux solved this seven ways to Sunday, none of them monetize able but all more or less effective. Having looked a few times they've actually torn down their original shop (introduced as a feature of Vista's Add/Remove Programs functionality) and replaced with with 'Microsoft Store'. Problem is the new store, much like the old store is still terrible, and now offers even less down loadable software than it did before (now it's mostly, buy and ship stuff like game pads and boxed software). It's also web based instead of cleanly integrated into an application on the desktop (like say... Steam), missing the point entirely. It would be great to see a nice clean application that I could load up and log onto on a new PC and simply hit 'install' to recover all of my applications from my older system without having to worry about CD's / DVD's, CD-Key's and the like. Adding the possibility of offering up free programs, or a demo / full program stylized after the Xbox Live Arcade distribution model wouldn't hurt software sales either I don't think.

While Microsoft may have totally failed to pay this particular ferry man, there's a number of other companies out there that have solved the problem quite handily. Of them I'd list Steam and Good Old Games as my favorites. This is due mostly to the fact that many (if not all) of the Digital River powered systems have a hard limit on how long you can re download the game for, and go so far as to charge you extra for the right to download it for an extended period of time (but still not 'forever'), where as both GOG and Steam guarantee download access for the life of the companies (which I hope to be a long time in both cases). It doesn't hurt that the level of DRM on Steam is fairly pain free and on GoG simply doesn't exist.

Brass Tacks:
While other companies may have solved this problem they have done so for a very particular market segment, namely gaming and they've done it very very well. There's still an opportunity there to be able to provide a single point of access to any number of individual applications or application groups (like say an app with related mobile software?) to provide a service for. It would certainly help if the app sales system was smart enough to make sure you don't buy stuff you can't use on your system and the like. But based on the meandering path Microsoft has walked so far on this particular trail, I wouldn't hold my breath for anything huge in the future either.

edit: It appears Microsoft may actually 'get' this based on this Ars article. Now lets hope they don't just scrap it and reopen it 3 times like the have for their media store.