Any program can be exploited once it has opened a port in the firewall. There are some very good stand alone firewalls. Just have to make sure it doesn't conflict with any others or virus programs you are running.
And Linux is not immune to attack.
You can have more than one operating system on a computer, just select which one at boot up. I used to use Linux for studying. I downloaded a Linux operating system onto a live cd, then in bios set to read/boot from cd first. It will then boot the Linux operating system, if inserted in drive, or boot Windows if no disc is in.
Linux can read Windows files so you still have access to all your music and pictures etc. It is also a very useful tool used by repair shops etc to access a Windows system if you have been locked out or like someone said earlier, lost your files due to an attack. Just boot Linux up and retrieve all your files you couldn't access through Windows.
All Linux operating systems used to be free also, not sure if they still are as I haven't checked in a while.