Yes, understanding Windows internals helped me to become a better programmer. It also taught be a lot of bad practices, bad ideas, and poor design concepts.
I highly suggest studying OS X or Linux internals as an alternative. It'll take less time, make more sense, and be much more productive.
Read code. Read lots of code. Read lots of good code. jQuery, Django, AIR framework source, Linux kernel, compilers.
Try to learn programming languages that introduce you to new approaches, like Lisp, Ruby, Python, or Javascript. OOP is good, but .net and Java seem to take the brainwash approach on it, and elevate it to some kind of religious level, instead of it just being a good tool in your toolbox.
If you don't understand the code you are reading, it likely means you are on the right track, and learning new techniques.
I'd suggest getting a mac simply because you'll find yourself wanting to make your UIs simpler and easier. It's really important to have a good environment if you want to become a great programmer. Surround yourself with engineers better than yourself (if you can), work with frameworks and languages that take the 'engineer' approach vs. the 'experimenter' approach, and... use a operating system that contains code better than yours.
I'd also reccomend the book "Coders at Work".