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You probably have a firewall on the system, or possibly on your router/switch if you are trying to come in from a real "internet" machine instead of your local network.
If you have a home network, you probably will not be able to easily connect to any of your home boxes from outside your house without incurring additional charges from your ISP.
If both machines are connected to the same switch/hub/router, I would guess that the linux box has a firewall blocking the port (22) or that the windows box is blocking outgoing traffic.
Hard to say without more information about your network setup, it could be lots of reasons.
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