Windsurfing is a safe sport, possibly one of the safest of the so called extreme sports.
Like any sport however, it's only as safe as you make it, and a common sense approach combined with preparedness will go a long way towards making this the safest sport you have tried.
This link provides some guidelines towards self rescue in the event that you do get into difficulties - more details to follow
http://windsurfingmag.com/uncategorized/2011/03/24/survival-sailing/