There are plenty of free and open source toolchains and languages for Windows... in particular the same ones available on your Ubuntu installation (gcc, openjdk, python, etc.).

Microsoft sells and supports development toolkits, and they happen to be better than a lot of the free ones. I bought PyCharm for Linux -- that doesn't make it closed.

The only thing closed about Windows is the kernel source (and even that isn't that closed, start your reading here: http://technet.microsoft.com/en-us/sysinternals/bb963901).