Yeah... I get tired of the "Windows security" thing...
I've picked a couple of drive-by viruses up over the last couple of years on Windows... and in each case, I *knew* I was getting into the back-alleys of the Internet where I was likely to find myself rebuilding my machine.
Frequently, if I'm going to be exploring some potentially seedy side of the Internet - I will hop onto a Mac or Linux box. So there is an implicit idea there that there are safe and less safe platforms. But, the fact is that in general I surf as securely and confidently on a Windows box as on a Mac or Linux box.
What sites cause problems? Those sites you start clicking when you're bored that have stories that seem interesting, "I bet you didn't notice THIS in the movie!" or "Lindsey Lohan reveals 10 mistakes that ALL men make in the bedroom"... As soon as you see a pop-up revealing "You're then 10 billionth visitor, you've won a free iPad and a chance to win a Maserati," you should know that even if you find that Gameboy ROM you're looking for, you're risking way more than it is worth.
The people who get their machines infected... they're stumbling drunk through downtown Oakland California at 2 in the morning with a roll of cash hanging out of their back pocket... and they're surprised when they get mugged.
Keep Up with TechRepublic