All the performance testing that we have done shows no difference between Linux and Windows performance on the exact same hardware.
However, if you go with Windows XP, realize that there is a limit to the number of connections allowed. I know that IIS and various other OS services enforce that limit, but other softeare, such as Apache and Java app servers, do not. You should read the Windows XP license agreement carefully to ensure that you are complying with it. Otherwise, you will have to run Windows Server 2003 (or 2000). Since that can be expensive, you might want to stick with Linux.