There is a piece of software, ClamAV, designed to help detect malware for Unix (including Linux... I'm aware Linux didn't descend from Unix, but I'm using the term broadly based on software mostly-compatibility/design).
Windows used to be far easier to break, due to being much less secure. Newer versions of Microsoft Windows have become notably better. (Win XP SP2 was much better than Win XP, and Windows Vista has been much better than Win XP SP2.)
Still, Microsoft Windows is used by a lot of people, including a lot of people who don't want to put much manual effort/thought into being secure/safe. The people who tend to use Microsoft Windows is one key reason why Microsoft Windows continues to appear to attackers as an attractive target that they feel is worth attacking.