Hi Thor v2,
It's simply because Linux is not resource hungry, and actually easy to use (once you spend a small time with it).
Windows requires more CPU/RAM/IO to run as an operating system, which degrades the performance of your service. Linux is a minimal OS which does not require hardly any CPU/RAM/IO; for example... Debian Minimal only requires <20MB of RAM to run. So the resources of your server can be concentrated on other services you run on your server instead; such as an Athena emulator, MySQL, or a webserver.
Installing on Windows requires you to search for installers for whatever you are trying to install (.exe/.msi/etc.), but with Linux; it's as easy as typing 1 line of command...
For example; a Debian based OS uses 'apt-get', so you'd just type: apt-get install mysql-server. And that single command line, would install a MySQL server in 2-3 minutes on your service.
Also, if you want a visual interface to move your mouse around for point n' click action; just install a Desktop Environment such as FluxBox (<15MB RAM), or GNOME (~120MB RAM). There are tons of Desktop Environments which vary in RAM usage, and you can choose what you want to easily install with the command line. Then simply use a program such as VNC Viewer to connect.
Lastly; Linux Servers cost less than Windows Servers. There's no licensing fee for Linux OS, so it's cheaper to use.
Sounds nice. I dont thing that i will have problem with the install of random programms. But how it is with the security, is there a lot of change to be done`?