An operating system is usually optimized to perform well for a large variety of workloads. Databases have a very specific workload and there are some possible (performance) optimizations if you, for example, bypass the operating system file caching and prefetching facilities and roll your own. Or if you control the scheduling of your operations. Take this with a grain of salt, it has been some time since I read about SQL Server internals, but this is what I remember.
