Lotta questions there...
Assuming you have Win XP with Service Pack 2 (SP2) installed, go to your control panel and Window Security Center. If the Virus Protection block is green, then you have an AV running and you can get the details there. If not, then you will want to load one.
I'm willing to bet you have one running, likely Norton's.
Both McAfee and Norton have antivirus products. They also sell firewalls and other OS utilities.
A firewall is designed to prevent computers from outside (one the internet) from accessing your computer without permission.
There are software firewalls, such as the built-in Windows Firewall (comes with SP2), Zone Alarm (there are free versions online), and Black ICE. There are also hardware firewalls, some switches and routers have them built-in. I built my own hardware firewall appliance using a discarded PII computer. There are several downloadable firewall Operating Systems available for doing this.
The differences between firewalls have ot do with security and flexibility-- if you want absolute control over what comes in and goes out of your computer (or home network), then you'll want a dedicated firewall appliance. If you want some firewall protection without being bothered for permissions a lot, then stick with Windows Firewall. Just bear in mind that, while it's better than nothing, it isn't proof against anyone more knowledgable than a script-kiddie.
If you decide to use a firewall other than the built-in Windows firewall, be sure to turn it off. Some software firewalls will turn it off automatically when installing, but you should doublecheck.