I have created a small python script of mine. I saved the pickle file on Linux and then used it on windows and then again used it back on Linux but now that file is not work
Pickle should be cross-platform, there are versioning/protocol issues, (see http://docs.python.org/library/pickle.html#data-stream-format) but in general if you're using the same release of python on your windows and unix boxes, they should be interoperable.
If you're using pickle as a data transport mechanism, you might want to consider less-implementation specific formats for data storage, such as json, xml, csv, yaml, etc.