And Linux doesn't have any problems with people hacking the system through a browser like this. And Linux doesn't force you to have IE installed.
Did it just for you, evilfantasy 
Linux/Unix does have problems with buffer overflows in C applications being easily exploited... especially printf() calls with a single argument.
Also, I think we're getting a little off-center in our view; exploits in Internet Explorer are no more dangerous then exploits in Firefox. Internet Explorer is integrated into the OS but it doesn't give any extra privileges over hacking any other browser- the goal is to simply get a program running on the remote machine, and then they can use any number of elevation techniques 9buffer overflows, for example) to elevate to admin/SYSTEM on windows and root on a Linux system. Once they do that they can scoff etc/pwd and the NTLM hashes and attempt to crack them locally. I don't know if Linux does something similar but windows has a password cache that stores the login names and hashes of recent logons, regardless of the domain. a Lucky hacker might be able to compromise a machine that has the admin password for a domain controller in that cache.
For Linux/Unix a common source of problems for quite a long time (at least for servers) was the sendmail daemon. the basic concept ath the time was simple- send more data then it can handle, (usually in the form of Nop instructions) and then insert a bit of assembly that executes bin/sh. at that point, sendmails buffer overflows, and overwrites the return address and it jumps to the asm instructions and executes bin/sh- and the machine is rooted. Similar vulnerabilities exist for almost every program that runs as root; thankfully most of these services are hardened against these attacks but as long as they are being exposed to the rain they will weather, and more holes will be discovered.
