Whenever you encounter a dialog box in Windows, there are the standard OK, Cancel, Apply buttons—but you don’t actually have to click the Apply button first.
The OK button does the same thing, saves the settings, and then closes the dialog box… saving you an extra click. Don’t believe me? Try it out for yourself. Only the worst possible application won’t behave that way, and you probably don’t want to use that type of application to begin with.
The only exception to this rule is a multiple tab dialog box, on a badly written application. Sometimes… your settings on one tab won’t stick unless you click Apply.
Note that in this particular case, you can make changes in any one of the tabs, and they will carry through without having to click Apply, because this dialog window is well written. We’re just using the screenshot as an example of a multiple tab setting interface.
So now that you know better, you can tell us… do you always use the Apply button first? Have you ever found an instance where it behaves differently?