Actually, it doesn't minimize all windows, it shows the desktop. There is a slight difference. When you maximize any window, all your former maximized/restored windows will open again. Window Key + M is actually the minimize all shortcut, however if an application has a dialog open, it will not minimize it.
windows key + D shows the desktop, Windows key + M minimizes all windows that don't have open dialog boxes.
The quickest way to maximize your current program when using windows. (without using your mouse). Microsoft chose to not include a two-key shortcut for this basic, oft-used function, so this is the next best thing.
Alt space x.
Alt then space then x.
Learn it, live it, love it.