file storage, unix or windows?

I'm creating a application that needs to hold a HUGE amount of files (images for now, but could very well be text files/html's in the future).

Does windows handle file storage and more importantly file retrieval differently than say unix?

I don't have much experience with unix, but I would consider having a unix box in the mix if there is a business case for it.

Scenerio:

I have 1-2 million files in a folder, will windows file retrieval be the same as unix? If not, is it a big deal? Performance/time differences?

I could always store images to sql server, but I'd rather not at this point.