The same is true for Windows systems. I have a firewall on the network I run at work, and this worm never had a chance at affecting a single computer there.
It's my belief that the problem isn't with Windows itself, except that it may be
too easy to use. To do much with Linux, you have to be knowledgable about computers, which means you probably also know how to do a secure setup.
Anybody can setup and use a Windows system, and most who do don't have a clue about computers, not to mention security. That's why you see so many security breaches with Windows. I mean, what home user doesn't have a wide open 'net connection with no Admin password?
Besides, Microsoft found the bug and released the patch almost a whole month before this worm came out. If you just go to Windows Update every once in awhile...
And before you try to use that dumb, "If Windows is secure, why does MS have to release so many patches?" line,
checkout how many security-related patches have been released for Mandrake Linux recently. Looks like an average of 12 a month over the last quarter...