If you're running Windows on a Mac, you can get viruses just as easily as on a non-macintosh computer, it just won't effect anything other than your Windows files. If you're concerned about firewall security, Windows has a good enough firewall.
Basically, you're not going to make Windows immune to threats, no matter what program is used to run it, or what hardware it's on, whether it's a virtual machine, or a Boot Camp. Your best bet would be to use Boot Camp. It'll run Windows at a native speed.