I have stopped paying attention to those warnings. I've got no sensitive material on my computer, and since I don't give away my POP3 mail to many people I've managed to get a total of 1 E-mail virus through that. Which I immediately identified as a virus and trashed without looking at it.
As for Linux. Yes it's nice to have an alternative though there are a couple of things I'd have liked for it. Like a standardized layout which means that you wouldn't have to download different versions of software based on which distro you used. Another thing would be a better way to get the binaries installed. I'd think that would be more global variables. As it is now you need to compile many of the programs you download and install yourself and usually need to have it configure a bit first. It's ok with small apps. But larger programs really take time. Especially when you're a linux newbie who most likely makes a mistake or two when installing, and then won't have an idea on how to uninstall. (Really had to go messing about with something I didn't know just to install my NVidia drivers since they installed wrongly first time thus crashing X. wouldn't uninstall or reinstall)