Hi, for a descent media player which can play anything from the range of mp3's to DVD's and DivX, use mplayer:
http://www.mplayerhq.hu/
it should compile without any problem with any newer version of Linux. Just make sure to read their documentation before trying to install anything and you will do fine.
You don't need any anti-virus in Linux. Just make sure to never login as root, just for editing certain files and starting/stopping services and you will be fine.
A firewall is important, not as in Windows, but still. Check for iptables or Firestarter. They usually come with every distribution.
If you need more assistance, try searching the forum. Questions about media players, anti-virus, firewall and p2p are really frequent.
Good luck!