How to make Windows 7 aware about iPhone photo orientation
I just found this software: JPEG-EXIF autorotate.
I've not tried it and can't tell if it works fine or not, but they say it works with Windows 7.
Apparently it adds an entry in the context menu to rotate automatically the image according to the EXIF orientation data. So if you select a bunch of images, their orientation will be corrected and so will it be for the thumbnails. Not entirely what you're looking for but I don't have better for the moment.
Windows Photo Viewer ignores the EXIF rotation information when displaying the photo, Picassa does not. Personally I think both behaviors are correct; you do want some tools to show you what the JPEG's native orientation is, though it would be nice if the viewer had the option to enable "view rotation according to EXIF data". The solution you found, of importing the pictures, will actually change the file to rotate the JPEG data according to the EXIF and then update the EXIF to not rotate the image. That's okay, but not ideal.
I've just realized that using the "Import pictures and videos" wizard rotate the photos for you.