Windows updates (and Windows Installer) are transactional. If the update or installation fails, it knows exactly how to revert back to the previous state.

Windows Installer supports this across multiple packages too - for example, a game might need some version of DirectX libraries which needs some version of the Visual C++ runtime (probably showing my age because I doubt games come bundled with DirectX any more). If one of the packages fails to install, it can handle rolling everything back. Linux can sometimes leave your system in a broken state when this happens, requiring you to manually resolve the issue - for example, on a Debian-based system if the postinst script for a package fails.