Microsoft don't make profit on every sale of a PC game, they do when a 360 game sells. There's more to benefit from when advertising console games as not only do they get the hardware sale, they also get a reasonable percentage of every game sale, regardless of whether they produced it or not.
Microsoft hardly make money on the 360 hardware; equally with Games for Windows Live they are going to be getting licensing; they get money for the development tools used to create the game