A wound string is more flexible, Jon - the core is much thinner than a plain string of the same gauge. If you catch my drift...

It's all down to balancing tension, flexibility and sound - oh, and in your case, Jon, the amount of rust!

Wound strings sound very different from plain - I went through a phase of putting wound second strings on my mandolin to make the sound 'warmer', but they didn't last long, and I no longer bother!