In wider terms, Windows is very much not like a radio station. A radio station doesn't broadcast advertising for their competitors' shows, but it doesn't broadcast competitors' shows, either. If we're to apply the same laws that apply for radio stations, then they should apply under the same conditions: Microsoft can advertise their programs all they want -- but then they shouldn't allow running their competitors' programs, either. Let's see how successful Windows is without Photoshop, AutoCAD, 3D Studio Max, Matlab...
Windows is marketed and sold as a general-purpose operating system. I think it's reasonable for users to expect that Windows will treat all legitimate programs the same, regardless of their origin. That should include access to the operating system's advertising channel.
Using your foothold in one industry (operating systems) to discourage competition in other spaces (browsers) certainly is a grey area. Microsoft has been through a pretty similar lawsuit before, on exactly this topic, and that didn't go very well.
The way your comment was phrased I thought that you were saying the shadiness comes from it being a Microsoft ad on a Microsoft medium which does not accept ads for competing products.