Windoze is the problem...
As is Linux, OSX and any other OS. Windows is more of a problem than other operating systems because it runs on over 80% of the worlds desktop PC's. Coders are human, they make mistakes. Any software with more than a few thousand lines of code is likely to be flawed.
Most Computer users see PC's as a consumer device and expect their PC's to run and be as safe to use as a TV set, they trust their computer as they trust other consumer devices. Microsoft, Apple and developers of Linux distro's make no effort to discourage this trust as they all simplify the use of their products and extol their virtues.
Anti-virus software is not a solution, a recent email I received purporting to come from HM Revenue and Customs invited me to download and run my tax statement. This tax statement, an executable, was infact a zbot variant detected by only one of the virus scanning engines used by Jotti's malware scan that's 1 out of 22. I use Avast! that did not detect it.
Linux is safer than Windows but only until it has dominant market share, then someone will work out a way of infecting a Linux system without root access. I use Linux, I prefer Linux, but I am under no illusion. I subscribe to Full Disclosure and the number of exploitable vulnerabilities in OS software is at least comparable to the number of exploitable vulnerabilities in commercial products. The difference is that on the whole, they do get fixed quicker.
Security begins and ends with the user and the sooner developers admit that they cannot guarantee security of their code, and that ALL their products are a liability, the average user will continue to trust their computer as they trust their TV. This needs to change. Just like a packet of cigarettes carries a health warning, software packaging should also carry a warning stating that use of this software could result in severe financial loss. Maybe then users might just be a little less trusting.
I would say do not use Windows for anything other than playing games and as a media center because that is all it is fit for. And, when Linux has a much larger user base it won't be much better than windows from a security perspective either.