For future reference:
Linux are not prone to virus in the traditional sense, the thing you should look out for are rootkits. There are some scanners for this as well, but I need to dig them up. Some are worried about forwarding virus from linux via mail (I find this a bit far fetched, but I'll leave that alone) if you are in a Windows network or something like that. Wine could theoretically be infected, but that will only affect Wine, not your system.
Most linux distros comes with a firewall compiled with the kernel (some security training distros have excluded this, I think), it is called iptablesand runs even off the liveCD. You can use Firestarter (GNOME app, use Guard Dog or other in KDE etc if you prefer "clean desktops"), to configure iptables with a GUI. If you want to, use terminal to configure iptables. Firestarter/Guard Dog IS NOT a firewall, they are just configuration utilities, they do not need to be running for the firewall to be in effect.