You don't need anti-virus for the Mac, but if you're going to run Windows on it you'll need an anti-virus program for Windows. It doesn't come with the Mac.
There is a really good built-in firewall though, you just have to make sure it's on.
Go to System Preferences>Sharing, then click the "Firewall" tab in the middle and make sure it's on. Then you can quit system preferences and you're all set.