While most people run windows on their local computer, the same is not true of the computers being used as web servers. The majority of web servers run Linux. There are a number of reasons for this but the most important thing that you need to know is that the web server you use to host your web site does not need to be running the same operating system as your own computer does since unless you get VPS or dedicated hosting you will not have any access to the operating system running on the server and even if you do it is not something you will need to interact directly with very often anyway.
In deciding the operating system to choose for your web hosting the operating system you run on your computer is of little relevance. There are a few things that may determine which operating system you will be best using for your web server and none of them have anything to do with which operating system you use on your computer.
You may have found a content management system that provides you with all the functionality that you are going to need for your web site. If so then you need to look at the web hosting requirements that are needed to run that system and that will help you to determine what sort of web hosting you need and from there what operating system you will need to run it. Many of the free to use content management systems are written in a programming language called PHP and are intended to be run on an Apache web server which you will most commonly find available on computers running Linux. Other systems may be designed to use .NET running on an IIS web server that is running on Windows.
If you have already selected the system to use for your web site functionality then it will generally determine the operating system you need the server to run. More commonly though you will get the web hosting first and then built the web site using the technology that the hosting makes available. In this case, unless you have obtained windows hosting based on the misunderstanding that the hosting needs to use the same operating system as your own computer, the more obvious choice is Linux.
Choosing Linux hosting has a number of benefits over windows hosting for personal sites and small to medium business sites where the company does not have their own dedicated development team to manage the web site.
The first benefit is cost. Linux is free. Apache is free. PHP and mySQL are free. So web hosting using these does not have to factor in a charge for any of these components when they offer Linux based web hosting. Windows, IIS etc all need to be purchased and so the cost of Windows hosting will be higher because it needs to cover the cost of all the software that needs to be purchased.
Next is the availability of frameworks that have already been written that run on the various platforms. There are a lot more people using PHP and Linux/Apache than are using .NET and IIS/Windows for their web sites and so there are also more of them who have and are still developing software for Linux based hosting than there are for Windows based hosting. Also many of those developing for Windows work for big companies where what they are developing is for internal use within their company while those writing PHP generally are either selling their product or may even be giving it away free. The result is that there are far more products that you can obtain and use on your Linux hosting to provide all or much of the functionality you need where on a Windows system you will probably need to have more of the needed code custom written just for your site.
This then flows on into the support area where it becomes much easier to get help with popular free PHP scripts than it is to get help with other less commonly used scripts because others are more likely to have already resolved the problem you are asking about if more people are using the code.
There isn't an issue with being able to set up your own locally run web server to test with if the server is running Linux and your local computer is running Windows because Apache can actually run on either operating system - it is just cheaper to run it on Linux for servers. There are even packages available that will allow you to install Apache, PHP, and mySQL all in one go.
Neither Windows nor Linux is better for hosting a web site. All of the differences relate to cost and the availability of code that does what you need it to do. Whichever one you choose to host your web site may effect the cost of the site and the ease of getting it set up to work the way you want but will not affect anything else.