Linux uses IPTables as it's firewall, there are many frontends to this - GuardDog, Smoothwall and Firestarter are very popular and easy to configure.
There are both free and commercial anti-virus packages for Linux - F-Prot and Clam Antivirus are 2 which spring to mind. Linux is much less prone to virus infection than Windows (there are only a small handful of viruses for Linux).
Asfar as Spyware goes, I don't think that there is any syware for Linux or anti-spyware tools. Mozilla and Galeon both have anti popup options inbuilt.
The most basic info I can give you is "do not login as root". Most viruses need to have the installation rights provided by the root account. If you only log in as a normal user, those install rights will not be there.
Also, if you are interested, go to the Linux-Security forum and read unSpawn's Howto - I think it is the second one down.