There are two methods of attack - one is to hack in via a doorway and the other is to blast the server with rubbish packets in some attempt to crash the server - called a Denial of Service - DoS.
For the doorway business, it can be an open port on the server where some program running on the server is listening to e.g. httpd will listen to 80, ftpd port 21 etc. etc. If one of these programs has a vulnerability in it, a hacker will find it and attempt to get in.
To be really secure, you will need a hardware firewall where the port traffic can be controlled but these do work out quite expensive. There are cheaper alternatives but they may not work as well.
As people say on this thread keep up to date with bug reports of your chosen os and all your chosen apps. also, run a port scanner on your final setup to check that all is well.
finally, I think that the comment that Microsoft will guarrantee a hack is not totally fair and a little hard

. M$ was really useless about security but recently, they have done much to tighten up IIS4 and IIS5 webservers so that these are now producing (apparantly - according to press reports) less vulnerabilty reports than Linux - I have not counted them up recently myself.