I would recommend that you move to Windows 7, unless you have a specific reason that you can't do so. It's going to be getting more and more difficult to get support for hardware and software for XP, while everyone will be fully supporting Win7 for years to come.
Regarding virtual machine programs, in addition to the commercial products, there is a free program called VirtualBox that works quite well. You might want to check that out.
Both Win7 and OS/X have built-in firewalls that work just fine. You don't need virus-scanning software for Mac (although that might change in the future). If you're not using the Windows VM to access the Internet (web browsing and email), you can probably get by without virus-scanning software on the Windows side as well.
Being able to take "snapshots" of your Windows VM means that you can recover to an earlier version in just a few seconds, so if something gets hosed up for whatever reason, you can just back up to an earlier snapshot and be back in business in just seconds.
Hope this helps!
From what I've read, you need security appropriate for Windows on the "Parallels Desktop 6 for Mac" side due to malware that attacks Microsoft.
Any suggestions?
I'm currently using Online Armor++.
Check it out at Giveaway of the Day - Online Armor.