I have considered installing linux on another partition just for the sake of running core in a less harsh environment than Windows but even then it doesn't solve the problem of being to connected to the internet anyway, and I don't trust this "you can't get hacked in linux" stuff.
At the same time, no one can enter your system, execute a program or plant a trap without it having "holes". There's no magic to get access to your system that I know of.
After you have your system installed, you just have to keep in mind to offer as less potential holes as possible, like:
1.Is your system running a SSH server?
2.Is your system running a Remote Desktop server?
3.Is your system running a Web server?
4.Running, downloading all programs you found on the internet (e.g. joe's blog).
5.More things I do not know about?
Configuring or doing any of that in a careless manner will make you a very easy target to other people plant and run any software they wish after every startup. Even if you're running Linux.
I am not sure about Windows, past experiences told me it is vulnerable out of the box... While most Linux implementation is not (that I know of). It will depend on what the user will do that will open or close doors to outside attackers.
Also, keep in mind to update your system regularly. Some serious bugs are fixed every now and then.