Microsoft had an application store in Windows XP. Remember "Find applications"? They had an online store of sorts that listed programs, but nobody bought anything on it because there didn't appear to be any vendors on it, and CD-ROMs were all the rage back then.
App Stores have only really taken off as Internet speeds have sky-rocketed. That was not the case when XP was released; everyone was on dialup or barely slow ISDN if they were lucky.