You cannot make it have the dual role it has in Windows, but you can definitely use it.
One thing you could use for is to bring up the Gnome Applications menu; just use System -> Preferences -> Keyboard shortcuts and select a "new accelerator" for "Show the panel menu".
Alternatively, you can use it as a modifier key, like Alt and Ctrl to expand your range of available keyboard shortcuts; it is a bit involved so I'll just give a link.
(The point of the dual role in Windows is that the key can be used both on its own to bring up the "Start" menu or as a modifier in shortcuts such as Win+E to start Windows Explorer. This isn't, or rather wasn't the last time I looked, possible in Linux.)
Edit: the method of using the Windows key to bring up the Applications menu has changed; you also don't need to change anything to use it as a modifier any more: just go into the keyboard shortcut thing and use it.