The Windows file system is currently NTFS. The max amount of files on a volume is 4,294,967,295. File cataloging on the drive takes place in a B+ Tree which gives you a Log(N) lookup.
On the old FAT32 there was a limit of 64K files in a folder. Indexing was also done by a list per folder, therefore after a couple of thousand performance dropped off drastically. You probably do not need to worry about FAT32, unless your audience has DOS, windows 95,98 or Millenium (Yuck).
On Linux it really depends on the File System you are using (It could be NTFS if you decide to do so) extf3 has a limitation of 32k files per directory. The lookup is also B+ Tree and will give you LOG(N) lookup
After looking this through further your question should really be regarding limitations of file systems.