Nor can Linux...
If you don't know how to secure your Linux, I would recommend using Windows and some AV-Software of your choice. Use the internal Windows Firewall, it is enough protection.
I can't understand those geeks who try to "proselytize" everbody to use Linux. Linux is NOT the best OS in the world. It might be the best for some kind of tasks, but it is definitely no panacea!

I don't have a homepage, for god's sake!