Back when i was forced to use windows for work, I created two accounts. One as an administrator, one as a regular user. I'd login to the workstation as the regular user, then if I need to install something or do something else administratively, I'd use "run as".
*nix's work the same way. The user you login as is a regular, unprivileged user. You can use "sudo" to run an application as root, which you will need to provide your password in order to do so.
The problem is, if you're running IE as a privileged user, and IE is exploited, that exploit is then run as an administrator. That leaves open to infinitely more damage that can be done to your computer. Combine that with XP's primitive permissions structure, and it's a recipe for disaster. Logging in as an administrator is by far the most easily correctable security hole, and Microsoft never even attempted steer users in a safe direction. Vista has taken steps to correct this (which is why you're prompted before Vista does anything), but it's still a mess.
For example, if an application gets exploited in Linux, and it was running as my user, they may be able to delete my personal files, but in no way can they delete/modify system folders or binaries. Gaining access is essentially useless (unless your goal was to gain my password file for those XXX sites).
like I said, combine that with windows file permissions, and the lack of any worthwhile firewall that comes with it (which you have to then go to 3rd party vendors), and the piss poor update mechanism, and it's a bad combination.
