Graphics design: Save files as PNG w/ alpha transparency, you can also use the .psd format which can be opened in gimp.
Web images: I <3 PNG but the alpha transparency is horribly screwed up in IE6. You can use GIF index transparency but it is only designed for 1 color in the background. JPEGs are fairly nice but are really lossy by default on some editors such that 2 or 3 saves later the image is totally unusable.
Documents: I love Lyx for writing, it does all that annoying formatting for you via the latex standard, as such you dont spend all day pressing the enter key to make things look proper (and copying stuff to and fro in the headers and footers, gahhh!). OpenOffice works decently for reading word docs but some formatting can be screwed up a little.
I use a combination of OSX, Linux and winblows at home. For the most part I prefer the following:
OSX: Graphics design and video editing
Linux: Web Design and programming, audio recording and editing
Winblows: isn't even installed no more, muhahahahha!
It sounds like the problem is that you are trying to read psd files on winblows and it doesnt know how to read them. Download the gimp and it should solve most of your issues.