Is there a service like SUSE Studio that works for Windows?
http://ninite.com/ is the closest thing I can think of off the top of my head, basically a one-stop shop for free windows programs
Yea nLite is great... and for vista vLite.
You can not make your own Windows distribution in the same sense that you can for Linux, as Windows is proprietary.
Suse Studio will run on any operating system, granted you have a web browser. Fedora Revisor, Instalinux, Live Magic, Reconstructor, Linux From Scratch, Ubuntu Customization Kit, Slax and Nimblex are similar services.
If you want your own distribution, I suggest you hit the library in search for C programming books. Using the services listed above will only "respin" a distro, I doubt very highly you'll need to even glance at the code, so it leaves you extremely limited on what you can do (editing default packages, changing splash screens/logos/DE's, etc.). You'll still be using the Linux kernel and base distribution's original code, so it's still licensed to these parties.