If it's their first system, I would hope they'd start with Linux. At the very least, they'd save money and have an opportunity to master it before going the other way with the comparison, which is "Linux isn't Windows, who knew!" No, it's not, and that's a good thing for both.
You do have a very good point there that I haven't thought about much. Someone who has always used Windows is definitely more likely to try Linux and say, "Hey, it's not like Windows! I don't like it." They would be much more open. But I guess that brings up the question, is it better for the world to turn to an open source OS and eliminate for-cost competition? Personally, I say no.
city_zen said that Microsoft would prefer you steal Windows that use Linux. I don't seem to have the link bookmarked any more, but I read an article a while back about that. The basis of the article was that even though stealing Windows takes away money from Microsoft (more like stops them from having your money, I guess), it still helps to keep Windows mainstream. I definitely think that's at least partly true. However, stealing is still illegal and it's still wrong. It hurts the companies who are trying to sell their product.
Back to Windows and Linux. I think having both open source software and software you buy helps to boost the use of both. There's no better competition to a paid-for product than a free one that does the same thing. It helps to keep the paid-for product of high quality, while at the same time it keeps the developers on the open source product to make the free one be as good as the paid-for one. Know what I mean? If Linux (or any free OS for that matter) ever became more widely used than Windows (or any paid OS), I don't things would be so good. There's no guaranteed support for an open source product, which might scare away companies from using the free product. Sure, there's the whole internet for support, but that's still not as solid of support as talking directly to the creator.
This post could go on and on, so I'm going to wrap it up now. I think Linux is great for how far it's come and how far it's probably going. I look forward to major improvements in distros like Ubuntu. There are many situations in which I'd use Linux. For example, sometime I'd like to build an HTPC. I've dabbled in MythTV and it seems extremely promising for this. Running Windows on my HTPC would cost me the price of Windows, but I also would have the opportunity to get the many plugins developed for free by others. But for my main desktop for work and play, I think I'd feel a lot safer using Windows. It's very widely supported. It works. That's the bottom line for why I refuse to switch to Linux completely, even if I wanted to.