As Piru said, this is not a traditional virus, so anti-virus software is useless against it. Even if it did recognise it, all anti-virus software can do is clear your system after infection, nothing more. It would not prevent further attacks.
This is a worm attacking a vulnerability (read bug) as described on the Microsoft site (linked earlier in the thread). Unfortunately, it's unlikely that anyone will ever remove ALL such vulnerabilities from any operating system.
Using Linux provides better protection simply because it's less of a target for attack, not because it has fewer vulnerabilities.
Professional firewalls and/or dedicated hardware routers further reduce the likelihood of a successful attack, but no system is totally secure.
