Dude ,
I stayed in Windhoek a couple of years ago- very modern and different to the rest of Africa due to it's German colonial past. The crime rate is very low compared to South Africa but like DaFly says you just need to take a few precautions as you would in any country.
If you need a place to stay near the city centre then I would recommend Chameleon City Backpackers Windhoek- their accomodation costs are based on your budget varying from full size ensuite bedrooms to small 2 person tents in the camping area. They also have an outside bar with swimming pool. If you need any shops the main shopping centre is only a 5 or 10 minute walk away.
If you do get a flying job out of Eros then I would say be aware of the Density Altitude problems- Windhoek is about 5000' ASL and it can get pretty hot as well.
Best wishes,
Rico