Here's a screenshot to give you a preview of Blender's interface.
For those familiar with older (pre-2.5x) versions of Blender, this will look very different. The redesign made it much easier to find things.
For a detailed rationale explaining the redesign, read this.
Why Doesn’t It Follow UI Conventions For [Insert OS Of Choice Here]?Edit
Blender follows its own user-interface conventions. Instead of making use of multiple windows as defined by your particular OS/GUI, it creates its own “windows” within a single OS/GUI window, which is best sized to fill your screen. Many people accustomed to how applications normally work on their platform of choice get annoyed by Blender’s insistence on being different. But there is a good reason for this.
The essence of the Blender UI can be summed up in one word: workflow. Blender was originally created by a 3D graphics shop for their own in-house use. Being a key revenue engine for them, they designed it for maximum productivity, speed and smoothness of operation. That means avoiding “bumps” that slow down the user. For example, windows never overlap, so there’s no need to keep reordering them to see hidden stuff. You don’t have to click in a window to make it active, just move the mouse. There is a minimum of interruption from popups asking for more information before performing some action; instead, the action is immediately performed with default settings, which you can then adjust afterwards and get immediate feedback on the results.
Blender may not be “intuitive” to start learning, in that you cannot simply sit down in front of it on your own and figure out things by messing about from a position of knowing nothing at all. But once you have picked up some basic conventions, you will find it all starting to make sense and then you will be free to experiment and discover things on your own.
Why Doesn’t It Prompt To Save Changes?Edit
Most applications on whatever platform nowadays will ask for confirmation if you try to close a document that has unsaved changes. Blender is frequently criticized for not doing so.
But think about it: what constitutes an “unsaved change”? Are switching tools or adjusting the window layout changes worth saving? In Blender’s case, the answer is “yes”, because all that is part of the document state to be restored on opening. So Blender would have to prompt for confirmation practically every time you closed a document or quit Blender.
Instead, Blender always saves changes when it closes, to a file called 'quit.blend'. The next time you use Blender, simply select File --> Recover Last Session and you can resume right where you left off.