Is there a command in Windows like ps -aux in UNIX?

I believe you're looking for the tasklist command.

C:\Documents and Settings\Administrator>tasklist /?

TASKLIST [/S system [/U username [/P [password]]]]
         [/M [module] | /SVC | /V] [/FI filter] [/FO format] [/NH]

Description:
    This command line tool displays a list of application(s) and
    associated task(s)/process(es) currently running on either a local or
    remote system.

Parameter List:
   /S     system           Specifies the remote system to connect to.

   /U     [domain\]user    Specifies the user context under which
                           the command should execute.

   /P     [password]       Specifies the password for the given
                           user context. Prompts for input if omitted.

   /M     [module]         Lists all tasks that have DLL modules loaded
                           in them that match the given pattern name.
                           If the module name is not specified,
                           displays all modules loaded by each task.

   /SVC                    Displays services in each process.

   /V                      Specifies that the verbose information
                           is to be displayed.

   /FI    filter           Displays a set of tasks that match a
                           given criteria specified by the filter.

   /FO    format           Specifies the output format.
                           Valid values: "TABLE", "LIST", "CSV".

   /NH                     Specifies that the "Column Header" should
                           not be displayed in the output.
                           Valid only for "TABLE" and "CSV" formats.

   /?                      Displays this help/usage.

Filters:
    Filter Name     Valid Operators           Valid Value(s)
    -----------     ---------------           --------------
    STATUS          eq, ne                    RUNNING | NOT RESPONDING
    IMAGENAME       eq, ne                    Image name
    PID             eq, ne, gt, lt, ge, le    PID value
    SESSION         eq, ne, gt, lt, ge, le    Session number
    SESSIONNAME     eq, ne                    Session name
    CPUTIME         eq, ne, gt, lt, ge, le    CPU time in the format
                                              of hh:mm:ss.
                                              hh - hours,
                                              mm - minutes, ss - seconds
    MEMUSAGE        eq, ne, gt, lt, ge, le    Memory usage in KB
    USERNAME        eq, ne                    User name in [domain\]user
                                              format
    SERVICES        eq, ne                    Service name
    WINDOWTITLE     eq, ne                    Window title
    MODULES         eq, ne                    DLL name

Examples:
    TASKLIST
    TASKLIST /M
    TASKLIST /V
    TASKLIST /SVC
    TASKLIST /M wbem*
    TASKLIST /S system /FO LIST
    TASKLIST /S system /U domain\username /FO CSV /NH
    TASKLIST /S system /U username /P password /FO TABLE /NH
    TASKLIST /FI "USERNAME ne NT AUTHORITY\SYSTEM" /FI "STATUS eq running"

Example output:

C:\Documents and Settings\Administrator>tasklist

Image Name                   PID Session Name     Session#    Mem Usage
========================= ====== ================ ======== ============
System Idle Process            0 Console                 0         16 K
System                         4 Console                 0         40 K
smss.exe                     564 Console                 0         52 K
csrss.exe                    628 Console                 0      2,168 K
winlogon.exe                 652 Console                 0      1,052 K
services.exe                 696 Console                 0      1,452 K
lsass.exe                    708 Console                 0      1,272 K
svchost.exe                  860 Console                 0      1,620 K
svchost.exe                  940 Console                 0      1,324 K
svchost.exe                 1032 Console                 0      8,204 K
svchost.exe                 1080 Console                 0      1,200 K
svchost.exe                 1132 Console                 0        544 K
spoolsv.exe                 1436 Console                 0        940 K
explorer.exe                1676 Console                 0      6,500 K
svchost.exe                 1920 Console                 0      1,372 K
cmd.exe                     1520 Console                 0         92 K
firefox.exe                  796 Console                 0     77,080 K
cmd.exe                      436 Console                 0      2,280 K
tasklist.exe                 196 Console                 0      3,984 K

you can also use the /V argument (verbose) to get more detailed information, but simply using tasklist will list the program and it's PID.

While tasklist is very likely what you need, there are other ways on Windows as well:

• Start the WMI console wmic and then enter process. This will likely get you more than you ever need :-)
• In Powershell the Get-Process cmdlet or its aliases ps or gps, as mentioned by Wil.
• In Powershell via WMI: Get-WMIObject Win32_Process. You will have to narrow down the fields to display for it to be useful, though.
• Via the Sysinternals PSTools, particularly pslist. Those all can be found on \\live.sysinternals.com as well.

Also, If you use Microsoft Powershell, the PS command works along with tons of other *nix commands!