A good, fast and robust Domain environment is very hard to set up, there are a lot of variables.
In essence this happens:-
when you log onto any PC for the first time, Windows copies your roaming profile (which contains your desktop icons and such) down from the server into the C:\Users (in Windows 7 that is!) folder, this is now a locally held copy of your profile. The first logon takes a bit longer, but as long as you have a local profile next time you log on, it will be pretty quick. This also depends on the quality of the hard disk.
Your documents and shortcuts are held seperately, and IT guys will set up a logon script or something to map these onto your desktop and documents folders. Logon scripts can also map network drives. Logon scripts range from simple batch files to custom created executables.
The location of the logon script is set in active directoy and attached to each users profile, so you can have a different logon script for each different user if you really want to push the boat out. Simple enough for 10 users but for nearly 10,000 like we look after, we use a custom logon executable that is linked to a database and controlled using active directory groups.
some stuff from technet on logon scripts:-
(This is very basic, they run up into hugely intricate databases for large companies with lots of different apps and shares)
The speed was probably achieved with clever partitioning and a proper strip-down of Windows, turning off everything unecessary and running very little in the background.
While apple machines will join and authenticate to Active Directory, it takes a bit of jiggery pokery to get it to map to SMB network shares holding data and documents, but it's easily enough done using the Windows file Sharing option built into OS X. Active Directory is a Microsoft proprietary tool, but apple also make a version just for Macs called Open Directory, but this only works when being run from an OS X domain controller running OS X Server.
This is all pretty advanced stuff to set up, though relatively easy to maintain. I spent 4 years looking after this kind of environment but the implementation of it was a thorough nightmare through and through