This blog has some info on enabling Windows-style command line auto-completion in Linux. Essentially, you add the following lines to your /etc/inputrc file:

set completion-ignore-case on
# Ignore case when doing completion

set mark-directories on
# Completed dir names have a slash appended

set visible-stats on
# List ls -F for completion

"\C-i": menu-complete
# Cycle through ambiguous completions instead of list

#set show-all-if-ambiguous on
# List possible completions instead of ringing bell