That depends on how you define Secure. Windows NT has a C2 security tool that will lock the box down very nicely. (unfortunately one of the things you have to do is remove the networking components).

A lot of it also depends on the knowledge and skills of the administrator. I'm sure that a Windows box being run by someone that really knows what they are doing is more secure than a *nix box set up by someone that has limited experience with security and *nix in general.

All OSes have there own vulnerabilities. Even though MS seems to get a lot more press, they exist in *nix systems to (anyone remember Ramen?). I’m not sure if this really answers your question, but I hope it helps a little.