Shades: in other words, a friend brought an infected machine to a LAN party? - but no other machines got infected? Sounds fine to me. You'd need a full-blown HIPS on your gateway device to prevent what happened... your Vista friend probably ran crappy AV, clicked too many links without thinking, and ran as admin instead of a non-privileged user.
That said, I tend to use linux for server needs. Not because it's more secure, but because it's less hassle for the stuff that I need. Sometimes, at least. Mostly because some of the software isn't available on windows, really.