Linux vs Windows Security
The difference between Windows and Linux really comes down to security. Specifically, permissions. Linux is solely based on what the user has permission to do. On personal computers "root" access is extremely limited even to administrators out-of-the-box as to ensure that the user doesn't compromise the stability of the system. The same concept is true of Linux based servers.
Windows relies heavily on anti-virus, anti-malware, and anti-spyware programs to keep a system secure. Linux does not have to rely on these things because of how the Linux OS (operating system) is built from the ground up as a multi-user environment and thus is designed to handle a wide array of groups and permissions. One example is the "root" user. Unless you have total root permissions, there is very little that the non-"root" can do. A non-"root" user can still have administrative capabilities, but they can still be kept from accessing and/or changing important system files that, if changed or removed, may threaten the stability of the system. Permissions are not just limited to users either. Individual files/folders can have their permissions restricted on the same level as users.
The major advantage to the Linux Operating System is that it removes the burden of worry when it comes to the safety of your system. Not only that, but by removing all the extra security software a Windows system would require (that is if you want to ensure you're covered in every aspect), you have a lot less system resources being used (i.e. RAM/CPU) by what would now be unnecessary software and thus giving you freedom to run more options without bogging you down.
Below are a couple of sites that delve into further detail.