Kostas
There may be viruses that "understand" Linux, so if its on Windows, why can't it modify the HDD where Linux is?

A virus running under Linux or Windows may be able to modify the hard drive, at least to reformat or delete a partition, causing destruction of the the data or system on the other OS. The motivation to do that kind of destructive invasion is pretty low for most virus coders, since they only get the satisfaction of killing a distant installation. The only protection from that kind of atomic bomb attack would be to keep a clean image of the system handy to re-install. It should not be able to execute its own code on, or insert code onto a Windows partition, unless the Linux is running a cross platform application like WINE. So an "infection" (self propagating code or malware code running on Windows with access to data etc. on Linux) is not going to jump from one OS to the other.
 
Among the many recent reports about NSA activity is a virus they created that could destroy the bios on computers from within Windows, thus permanently bricking the computer. So if you are trying to protect your system from an attack in a cyberwar,  where destruction is the main goal, then you may not have the assets to do so in any case.