I am about to sign up for another web hosting account from cpwebhosting.net, I currently have Linux webhosting and I am thinking of going for windows.
Are there any advantages with windows?

Windows is a powerful operating system.

Development in windows is very faster and you have very good support for SQL Server as back-end on the windows server.

Cold fusion is advantage on windows.
And all of the best ASP.NET …

Window hosting is more expensive then linux because microsoft charge more for their licences.