well if you're using plex, and it has no alternative than windows, I guess you're STUCK with windows
If you're going for XBMC though, there are plenty of other options besides a bloaty windows - xbmc is a little unstable on it, too.
XBMC by itself will also eat around 800MB of that 1GB Ram the microserver has (or the N36, at least), so either you are gonna have chunky performance or need to throw money on more Ram.
Windows isn't free either, so that's another thing to consider.
You will also need to install a DVD-Drive into the HP, just to install it. this sucks man.
Don't forget to install those drivers and Norton 2012 Anti-virus either.
So does any OpenELEC based system out there... except the OS only take a few megs of ram, instead of 800+ Megs.
I have no idea what this "linux" thing is you are talking of though

, but OpenELEC is pretty darn easy.
I guess you are not wrong for using windows if you use "plex" and have no other choice - but for xbmc it is just not practical.