That check box is checked and it still doesn't auto-complete, its pretty strange but is a common problem around the internets.
And yes I have an EU windows version, its in fact a PT version.
Are you doing run, and then enter "command"? command starts command.com in a DOS VM, i.e. it's basically the old DOS command prompt. What you need to do is run, "cmd", which starts the Windows version of the command prompt. This should allow you to tab complete.
I find Windows tab completion to be lacking and not very well thought out. For example, most/all *NIX shells will give you a space after a file name, and no space after a directory name, under the assumption that you wish to continue the tab completion with a file in that directory. And my pet peeve about Windows tab completion: You're entering a command and you want to add an argument before the last argument. Go back and write something and then press tab. Boom! The tab completion works per se, but wipes the rest of the line.
I can't vow for the crippled european versions ... ( not microsofts fault ! Blame Nelie Kroes with her stupid anti-competition policies that forces microsoft to remove a bunch of things from windows for the EU market... Apple is allowed to supply a browser and a media player, but not microsoft, no that would be bad ... )
They can still distribute it as far as I understand, but they need to show the "browser ballot" to make the user make an active choice. If you're comparing to Microsoft to Apple in this regard, you need to look at the history. What Microsoft is charge for is anticompetitive behavior, starting with the tight integration of IE in Windows 98. The case was about ten years of history of how IE became the market leader. If you remember your history, you know that Apple at about the time shipped with various browsers, and the default one being the now long gone Internet Explorer Mac version (!). Safari is also nowhere near the biggest browser. Even on Mac, it's not close to what IE had at the peak of its popularity. So a similar case against Apple would have little solid ground to stand on.