Windows is fine for now - you only really need Linux if you get into making your own custom kernels, which is a whole different skill level.
I would start out by downloading a copy of your favorite custom ROM. Unzip it onto your desktop and poke around a little. I'll give you a quick tour of the important stuff.
The file "zImage" is the kernel, and can be found in a folder usually named "kernel_update" or simply "kernel". To switch kernels, simply change the "zImage" file.
If you follow the path "/system/app" you'll find all the stock and otherwise uninstallable apps.
In "/system/framework" you'll find the files that control the ROM's theme elements.
In "/META-INF/com/google/android" you'll find a file called "updater-script", which controls how the Clockwork .zip file is flashed. Note: if you want to edit this file (or any text file) DO NOT use regular Notepad as it will include formatting and other things that will give Clockwork errors. Use Notepad++ or a similar UNIX editor.
The best way to learn is by doing. Download some random mods, like ones from
ACE ROM or
XDA. Unzip them, look at what files they contain and the folders that those files are in. You can transplant files from mods like these into a full ROM to start customizing.
Once you make a few changes to the ROM, use an application like 7zip to re-zip the ROM with
no compression. Place on SD card, go to Clockwork and flash away.
If you run into any problems or have further questions, post them here.