It's not that a computer virus cannot affect Ubuntu - it's still a piece of software which means it can be hijacked. However, since the majority of the world's computers run Windows - especially businesses - then from the point of view of the virus developer, it makes sense to target the largest audience: Windows.
Migrating to Ubuntu might be a big change in how you view your desktop Operating System. Ubuntu, while similar on the desktop to Windows, is quite different in general. Aside from that, not every application that works on Windows is going to work on Ubuntu with just Wine. Applications that require .NET will require you to use Mono, and even then, there will still be applications that you cannot run natively in Ubuntu.
However, there is always VirtualBox...
That being said, you may want to take John's advice and make sure your Windows system is more secure. For a home user, you can use Microsoft's Security Essentials for free to help keep your computer from being infected. You'll also want to make sure you area applying Windows Updates on a regular basis. Microsoft releases a new malware scanner every month through Windows Update called the Microsoft Malicious Software Removal Tool that automatically runs and cleans your system out during the update process.