If you already know what fragmentation is, and are already used to defragmenting your disk every month or so, here is the short version : Linux doesn't need defragmenting.
Now imagine your hard disk is a huge file cabinet, with millions of drawers (thanks to Roberto Di Cosmo for this comparison). Each drawer can only contain a fixed amount of data. Therefore, files that are larger than what such a drawer can contain need to be split up. Some files are so large that they need thousands of drawers. And of course, accessing these files is much easier when the drawers they occupy are close to one another in the file cabinet.
Now imagine you're the owner of this file cabinet, but you don't have time to take care of it, and you want to hire someone to take care of it for you. Two people come for the job, a woman and a man.
Without a doubt, you should hire the woman (you should have known it, women are much better organized :) ). Well, Windows uses the first method ; Linux uses the second one. The more you use Windows, the slower it is to access files ; the more you use Linux, the faster it is. The choice is up to you!