Windows does not have an "application server" per se. Instead there are different pieces of Windows/.NET Framework that come into play.
I'm not an expert on Java and Java App servers, but what you get there in the context of an application server is kind of combination of Servlets/JSP talking to objects (JavaBeans - here object pooling/caching comes into place, as well as stateful, stateless beans etc.). Then there is JMS as queueing service, and all stuff like talking to databases, sending mails etc. - if you look for example at LOB applications.
In the Windows world you can use different pieces of technology. ASP.NET/MVC would be your JSP equivalent, you can use .NET POCO instead of JavaBeans, ADO.NET/LINQ/other ORM as the database communication layer. There are some services from the operating system, like MSMQ (=JMS) that offers queueing/persistence, or COM+ with object pooling/transactioning etc. (though .NET was slated to be COM(+) vNext, e.g. you should get same benefits using for example .NET TransactionScope support)
Last time I heard Microsoft is working on something that will be called an "application server" - currently known as "Dublin", which will extend IIS/ASP.NET/MVC to include workflows, services etc.