Depends on the security. While windows might technically be more prone to malware and infections due to market share and stupid users, given the broad market of linux as server software on the internet, it contains much much much more known exploits and hacks than Windows.
That's a misconception commonly propagated by Microsoft advocates. The fallacy lies in that since Linux has an open development model, bugs and security issues are quickly and widely published on purpose, while Microsoft often sits on these for months if not years, sometimes refusing to acknowledge them altogether (going as far as rolling patches secretly into other updates), i.e. you never hear about the majority. So the perception arises that Windows has few bugs, while Linux has a lot. Also, Linux is strictly speaking the kernel only, you are talking about distros with a lot of auxiliary software.
In reality open source sofware in general has less bugs and higher code quality due to many eyes looking at it and simple availability of the source code (even if you know there are bugs in Windows, you can't fix them and have to wait for MS). Do a search on Coverity and errors per line of code. I'm not talking about usability/UI design, there is some stupid sh*t going on in 'Linux' at any given time there

Also, stupid users are gonna be stupid no matter what OS they run. I'm just sayin.
True, but the argument can be made that stupid users are more likely to use Windows than Linux

If you avoid things like installing suspicious software, toolbars, and running every exe you get in the emails, keep up to date with malware scanners and to an extent, antivirus... Windows can in fact be more secure than linux. Or at the very least, just as secure.
By that logic, Linux can in fact be more secure than Windows. Or at the very least, just as secure.