Hi Anna,
Everyone on this thread has nailed the fine points of using Linux over Windows; and when to actually use Windows. If you have absolutely no experience with Linux, you would either start with a company which provides a easy set up of Linux for a newbie to easily use, or just use Windows.
Windows cost more money because Microsoft charges for the software; Windows also uses more RAM and CPU. Linux on the otherhand, is cheaper and is very great on saving resources; it allows you to run other things such as the rAthena Emulator and a MySQL server on a server with less RAM.
Thanks to @Kaito_Kid for mentioning us, we do try our best to make our services newbie friendly. But once you get the hang of Linux, a lot of people usually try to find a better deal or move to a dedicated server.
But I will point out the details that a lot of people miss... (things to consider for running an RO server on a VPS)
1) CPU power, how much do you get? If you have less CPU allocated to your server, can it handle the load?
2) RAM type, is it truly dedicated or is it made up of burst? Is it DDR3 or DDR2? If it's DDR2, is it ECC?
3) Bandwidth, do you get a good mix of bandwidth providers for a good connection for everyone around the world?
4) Hard drive, is it slow? How much RPM? Does it include RAID so that your data is always protected, even in the case of drive failure?
5) Oversold? Are the resources you pay for... really dedicated to you, or is it being shared and oversold to others?
So even though some VPS sellers are really cheap, you must consider those things before making a solid purchase. Otherwise, you may regret it; lose players, waste time, and money.