Microsoft has been in the operating system business for a long time.
That said, there are still reasons to be scared of them.
For example, take this article. Microsoft had to issue a fix to their operating system. Why? They found three "critical" loopholes in their operating systems that would allow someone to take control of your system. This affects Windows operating systems back as far as Windows 2000.
So, when did they find this? About a month ago - January 2009. Windows 2000 has been on the market 9 years, and they are still finding flaws in it (note: this also affects newer versions, including XP and Vista). Just to recap - even if you are doing everything right, your computer could still be exploited. This is why it is critical to install the Windows updates when they come out (typically the second Tuesday of every month).
Thanks to Sue for the heads up!