Points in favor of Windows (2003 in particular)
1) Locked down outside the box. Doesn't need hours of securing like linux does
2) Easier the manage/administer. Requires less administration time in general
3) Well managed boxes are pretty secure. We've never had a windows box in 4 years hacked due to a security flaw in the software we use. Lots of the security issues are with services that are usually disabled on server environments
4) Everything linux supports is supported in Windows. That includes PHP which runs just as well as it runs on linux
5) .NET and MSSQL are fast gaining popularity, windows based
BTW, Microsoft has made a lot of proactive improvements in security. You see something called REP (Remote Execution Prevention) in 2003, which basically detects and prevents code being written in buffer overruns. No such thing in linux