I wouldn't worry about it...
Most viruses in windows I believe can attack due to the createobject in
javascript, where if a dll is registered you can access it with late binding
using the createobject in javascript or other language.
The registry cannot be altered by executables which download themselves into
c:\windows\system folder which is where much adware finds itself.

Since there's no such access to dll's in unix, there's no such exposure to
javascript attacks or activex objects which run in a windows environment.

Of course I would also refrain then from using
wine iexplore.exe
as well.