So, right.
There are two separate issues here with regards to “security” and we never really got to the root cause of what happened in the OP’s case (though it was a month ago and I’ve not read back so I’m a little hazy). Let’s deal with them separately.
The first is that the OP fell victim to a “phishing” website. For some reason he ended up at a website which looked like his bank’s, but wasn’t. The potential cause of this isn’t clear but it seems like the most likely option (and without looking up figures would I guess it’s the most common cause by rather a long way, following links in dodgy emails and the like). In this case, your platform is irrelevant, you’re already in the wrong place and the threat is external, outside of your control. You could be on a PC, a Mac, a phone, or an Internet-connected Commodore 64, a malicious website is a malicious website.
The second is that he fell victim of some form of malware, a local infection. I don’t believe that this was a cause in the OP’s case as we scanned his PC and it came back clean. Here though, platform is important, the vast majority of malware targets Windows (though not for the reasons most people think). If your primary concern is malware then yes, a Mac or a Linux install would be one way to mitigate that threat (mostly but not entirely). But there are other options here around safe computing practices, and that’s probably a longer post for a later time.