DO NOT INSTALL VIRUS PROTECTION SOFTWARE ON YOUR MAC.
For OS X that particular "cure" is worse than any (imaginary) disease.
Here, here - definitely good advice from JS for all the new Mac users out there ! I can't tell you the number of times I've had to help people 'undo' the mess caused by poorly written virus software installed onto a Mac ( a platform which doesn't need such software in the first place...unless it's to clean out virus infested Excel documents so a bug isn't passed on to your Windows friends...because it's not going to do anything to your Mac other than being able to hose Microsoft documents ). And as mentioned before, Mac OS's resistance to malware is due to its significantly more secure system architecture, and not due to the fact that it doesn't have as large a market share as the Windows world, or due to disinterest by Malware coders.
Something you'll just have to get used to if you're on a Mac is the fact that it will run best if you just sit back, relax, exhale that lung-full-of-stress you've been holding in while running Windows and let the system cater to you instead of vice-versa. If you are worried about getting hacked, choose a good password that's not in any dictionary or easily guess-able. Short of that, you probably won't have to worry about a whole bunch more unless you plan on using yours as a Webserver ( which even the 'client' versions of the OS can be setup to do in about 5 - 10 seconds ) or plan on exposing it to repeated, dedicated, concerted security attacks ( and not what a common user would be doing just by taking it on the net - I mean actually making yourself a target to be hacked ).
Just enjoy.
Also, if you want to do something, try the most intuitive, simple-minded way FIRST.
This is one of the reasons I like the platform so much and is the hardest 'intangible' aspect to convey to those who haven't used an Apple product. It actually takes my PC friends a while to back out of their old way of thinking and discipline themselves into expecting the system to work 'just the way they would have hoped' a particular feature would work, and be located and accessible in the most intuitive location on the system.
The funny thing is, I get my PC friends used to my Mac by giving them two instructions as I walk out the door -
"double-click, and just have fun" - that's my entire introductory user manual for them. They usually have a bewildered & worried look on their faces as I walk out the door, cutting off any further superfluous questions. Upon my return a few hours later I'm always greeted to the same expression - they're so busy enjoying the thing, they don't even turn around when I come back in the door - they just exclaim,
"hey, this thing is GREAT !", and happily keep clicking away...