Why is it not advisable to have the database and web server on the same machine?

Question

Listening to Scott Hanselman\'s interview with the Stack Overflow team (part 1 and 2), he was adamant that the SQL server and application server should be on separate machin

Answer 1

Ok! Here is the thing, it is more Secure to have your DB Server installed on another Machine and your Application on the Web Server. You then connect your application to the DB with a Web Link. Thanks it.