It's more secure

Okay, no operating system is absolutely secure.

However, at this point, the majority of viruses and worms are written for Windows operating systems. Few target Linux. There are still chances of getting compromised, but at least at this point, such chances are much lower than that of using Windows.

With a live-CD, even if a worm or virus manages to gain access, it cannot install itself! This is because the operating system and application programs are stored on a CD, which is read-only. In theory, a worm or virus can still do damage while it is active. However, because it cannot be installed permanently, a reboot of the system cleanly eliminates the virus or worm.