This is because the port can also communicate through an optical audio interface. Mac OS X only turn on the optical interface when it needs it, and Windows likes to leave it on all of the time.
Next time, please use search. This has been covered at least 10 times.
The Digital Audio (S/PDIF) output LED is always on when running Windows XP. How do I turn it off?
The Digital Audio output can be manually disabled by opening the SigmaTel control panel and deselecting the Enable Digital Output checkbox in the Advanced tab.