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You're not really running 'linux' per se, you're running apache. And you can setup apache/php/mysql very easily on windows for development purposes [but not production]. I did that for years before switching all the way over to linux, which definitely makes it even better in terms of your experience, since you know even more ways of getting stuff done.
The massive advantage to using linux, especially on shared, is that you have mod_rewrite and .htaccess control, assuming you have a real web hoster, and not a really bad one that shuts that off [ask before signing up if you have mod_rewrite and .htaccess enabled], if not, do not use that hoster.
Using windows will do more or less nothing to help you run a windows webserver, especially on shared, where you also will be interfacing with the site through a control panel of some sort, web based.
It's only when you get to more advanced levels that you actually will start using the web server operating system itself, for example running cron jobs or shell scripts on linux. Both of which are more good arguments for using linux by the way.
From personal experience, I have never seen a well setup shared windows environment, whereas that is fairly normal for shared linux/unix. Same goes for having mysql available, all that fun stuff.
There's a reason apache servers, on linux or a bsd derivative, serve something like 70% of the web, and most big sites, like yahoo, google, amazon etc, and it's not because it's 'free'.