Windows hosting means hosting web services that run on the Windows operating system.
You should choose Windows hosting if you plan to use ASP (Active Server Pages) as server scripting, or if you plan to use a database like Microsoft Access or Microsoft SQL Server. Windows hosting is also the best choice if you plan to develop your web site using Microsoft FrontPage.
Unix hosting means hosting web services that run on the Unix operating system.
Unix was the first (original) web server operating system, and it is known for being reliable and stable. Often less expensive than Windows.
Linux hosting means hosting web services that run on the Linux operating system.
Web pages can be executed as CGI scripts. CGI scripts are executables that will execute on the server to produce dynamic and interactive web pages.
Most Internet service providers will offer some kind of CGI capabilities. Internet service providers will often offer preinstalled, ready to run, guest-books, page-counters, and chat-forums solutions written in CGI scripts.
The use of CGI is most common on Unix or Linux servers.