This is fundamentally incorrect. Only Online Services Division (Bing) loses money. Everything else makes money, and Windows definitely makes more than "a little bit."
Operating Income by Division FY13 Q3:
Windows: $3.46 B
Server and Tools: $1.98 B
Online Services: -$262 M (loss)
Business: $4.1 B
Entertainment and Devices: $342 M
It is interesting that people perceive so many businesses at Microsoft as "failing" even when they have healthy income and growth year after year.
Even though Xbox (Entertainment) is now making a small profit, they've got a long, long way to go before it recoups the vast investment/losses of the early days:
