Time-related biases in cohort studies can produce illusory “beneficial” effects of medications due entirely to an artifact of the analytic design. We describe “time-window bias” in the context of a case-control study, reporting that statin use was associated with a 45% reduction in the incidence of lung cancer. This bias results from the use of time-windows of different lengths between cases and controls to define time-dependent exposures. We illustrate the bias using a population of 365,467 patients from the United Kingdom's General Practice Research Database, including 1786 incident cases of lung cancer during 1998–2004. The case-control approach used in the published study yielded a rate ratio of lung cancer incidence of 0.62 with statin use (95% confidence interval = 0.55–0.71). A case-control approach that properly accounts for time produces a rate ratio of 0.99 (0.85–1.16)—suggesting no benefit of statins on lung cancer risk. We show analytically that the magnitude of the bias is proportional to the ratio of the unequal time-window lengths.