Unlike a shared server, which powers multiple sites, a dedicated server hosts just one site. Website stability and reliability are the twin benefits of investing in a dedicated server—your site leverages a server's full CPU, RAM, and storage resources, as it doesn't share them with other sites. You shouldn't underestimate the importance of these benefits in terms of site speed and reliability.
The answer to this question largely depends on two factors. Are you new to server technology and not very interested? In this case, Windows is the easiest option to get where you want to go. Do you already have experience with Linux or would you like to familiarize yourself with this operating system? If so, Linux gives you more freedoms to configure your server, and you will be using an operating system that is less vulnerable to attacks from the Internet. Linux is also open source and therefore free.