Customers have long requested a way to configure a computer to automatically disable its wireless NIC when its Ethernet is in use. Many third-party utilities can do this for you, but neither XP nor Vista have a built-in way to accomplish this, nor will Windows 7. Although having both NICs enabled first appears to cause a security issue, in reality that would be true only if both of the following were also true:
By default, all forms of IP routing (including NIC bridging) are disabled. Only local administrators (or group policy) can enable them. So the risk, actually, is minimal.
If you have a stroll through group policy, you'll discover this setting: "Prohibit installation and configuration of Network Bridge on your DNS domain network" (more here, here). This setting allows you turn a computer into a router that bridges two networks. The bridging works only when one of the interfaces is in the same DNS namespace it was in when the bridge setting was enabled, and it works only when the Windows firewall is disabled on both interfaces (never a good idea). Additionally, regardless of the group policy setting, the function doesn’t even appear as an option when the user is logged in as a non-admin. The group policy setting simply removes the option from people who are local admins of their computers. So here's a way you can remove the ability even for local admins to enable routing.
However, let me admit that I wish we did have a way to implement your request, but for an entirely different reason: IP address preservation. Consider what happens when I'm on my own corpnet in my office. I put my laptop in its dock, which is connected to the Ethernet. I never bother disabling my wireless (I'm lazy). So whenever I'm in my office I'm taking up two IP addresses: one on the Ethernet and one on the wireless. Such wasteful profligacy, I know! (Note this isn’t a problem for any Bluetooth adapter, which always uses APIPA in its default configuration; I can’t imagine a scenario where you’d want Bluetooth to use DHCP.)
If you agree with me that this is something we should address post Windows 7, not for "security" reasons but as a good general networking practice of being conservative with address allocation, please speak up. Now's the time for your input.