That's a fallacy that I'm frankly tired of hearing. Unix was designed from the start to run multi-user environments, whereas Windows grew out of DOS, which was initially built for single-user, non-networked environments. The difference in their initial goals led to wildly different security models.

The average Unix user runs without superuser privileges most of the time. Typically, the less experienced a user is, the less privileges he has in a Unix environment [1].

At least as recently as Windows XP [2], the average Windows user ran his computer with an administrator account on a daily basis, which opens the user to much greater damages from malware. When I used Windows on my own computers, I always setup a non-administrator account for daily use, but I'm experienced enough to know (1) how to do that and (2) that it's a good idea. This suggests that Windows has an inversion of privileges compared to Unix. That is, the most experienced users grant their daily account the fewest privileges, whereas the least experienced users operate with administrator privileges.

[1] http://librenix.com/?inode=21

[2] Windows XP is the latest version of Windows that I've had enough experience with to say what the average user's setup is like. I hear that the situation has improved a bit with Windows 7, but when I was an intern at Microsoft, every one seemed to run as an administrator on their Windows 7 machines, so I'm not convinced that it's any better.