Is there a way to remote MAC from win just like window's remote desktop ?

its called VNC - remote desktop is just what M$ calls their VNC server and client

There is also Timbuktu from Netopia if you want more PCAnywhere like functionality.

I keep getting "unknown message type" and disconnect with VNC in Windows

First off, do you have Apple Remote Desktop enabled in your System Preferences -> Sharing menu?

As well, have you checked the "VNC viewers may control screen with password:" box and entered one?

If you have not done those, the VNC server in OS X will expect a username/password combo before initiating the connection (specified from your Users List up top) and that can only be done through ARD.

So do I need to create another user? There is no option (in the Vncviewer for Windows) to specify the username. Is there some tutorial about it?

No, you do not need to create a new user.
The User settings in System Preferences mean that "someone is only able to connect via VNC to your computer when that user is logged in if they have a valid Screen Control password."

In the big scheme of things, it really only applies to when you are using Apple's Remote Desktop Application.