Yes, you will want to install the antivirus software on the XP or Vista partitian. You will be running a virutal Windows Machine, with all it's nasty suseptibility to windows bugs. Keep the patches up to date.
I run parallels, and have Macafee running on the PC side. I have not installed Mac antivirus software. Some folks do, as even though the Mac won't be affected, you could pass along an infected file you received back to a windows machine.