Windows does not exactly have an equivalent to the way that Xorg works.
Xorg communicates to the system's graphics hardware and via the OS, handles input events from your keyboard and mouse. All graphical applications you run on your Xorg desktop communicate to Xorg to draw to the screen and to receive input events. The window manager is just another application on your system, but it handles events such as moving and resizing windows, it draws the borders around windows including any buttons such as those that provide minimize, maximize, and close functions.
Xorg itself supports OpenGL via a mechanism called GLX. There is also a feature called Compositing which Xorg supports, allowing window managers to be written in OpenGL/GLX. In the case of a compositing window manager, the window manager will retrieve the contents of windows from Xorg and will render them via OpenGL/GLX. In this case, the Xorg server would generally only render the graphics provided by the window manager.
Finally, it should be noted that Xorg simply implements a protocol called X11. Everything described here also applies to other X11 servers, although features may vary, some X11 servers may not support GLX or Compositing.