This notion is held mostly by people who have only ever used Microsoft systems, and refers to its graphical user interface (GUI). They assume that Gates invented the GUI, a leap forward in usability compared with the command line interface that DOS and other early systems used (and is still available in modern systems if you know where to look). The original acronym for a GUI was a WIMP interface, meaning Windows, Icons, Mouse and Pull-down menus (or Pop-up menus, whatever).
The "Windows" in "WIMP" did not mean the Microsoft "Windows" as in their registered trade mark; it was the plain English term for a sub-area of the screen showing a running application. Microsoft do have a tendency to brand their software with plain English words (access, exchange, and word are some others), and indeed to sue rivals for using those English words or anything sounding similar. In this case it "helps" the misconception that "windows" (sub-areas on the screen) were invented by the folk at Microsoft who brought you "Windows" (the brand name). Or something like that.
In fact the graphical interface was invented in the 1960's by Douglas Engelbart working for the Stanford Research Institute and was first taken up by Xerox, who could have become a leading computer company had they pursued the idea. Instead, Apple copied it and their Macintosh Lisa of early 1983 was the first personal computer on the market to feature a GUI. Other companies followed : later in 1983 Visicorp released a GUI called VisiOn running on DOS, and then Digital Reasearch released GEM in early 1985.
It was an early demonstration of VisiOn in 1982 that gave Gates the idea of Microsoft writing their own version. That version was Windows 1.0, released in November 1985, a little late to the party.