You only need to change your OS if there's something wrong with your current one. A good example of a bad OS (In terms of vulnerability and privacy issues, respectively) worthy of being switched out is Windows Vista or Windows 10.
Hell, even Windows 10 is okay if you're just starting out. Just be aware that people here will sperg out about this because muh botnet.
Windows 7 is still """""fine""""", with a few simple modifications. I'd reccomend that you start your /cyb/ journey by learning Windows first, because knowledge is power. Start by installing some antivirus/antimalware to clean up whatever's on your system right now. After that, download the MBSA tool from the microsoft website.
It is useful for finding security issues that one might have overlooked.https://www.microsoft.com/en-us/download/details.aspx?id=7558
(Only works for XP-8.1)
For any WinServer people reading, it works up to 2012 R2.
After you run that tool, google around for "Windows Hardening guides" or "Windows security guides" or if you want to go all out, get the CIS benchmarks for your OS and bolt it down.
That should be a good intro in to OS security. If you don't like that or meddling in the bowels of your computer freaks you out, I'm sure another lainon will give you some great advice on how to browse the web safely, because for most of us that's the only really serious threat, outside of covfefe shop hackers.
No post here or anywhere else will make up for hands-on experience with something, cybersecurity especially. You just have to do it yourself.
Take your time, learn how to use what you have, and then experiment with other OSes like linux or bsd if you want. There's a lot to learn out there.