Unfortunately there is no standard way to password protect files and folders in Mac OS X. However, you do have the option of creating an encrypted disk image (.dmg) via the Disk Utility. A disk image is as it's name implies, it emulates a physical disk and is stored in a file. You can set the size and whether it should be read-only or read and write enabled.
There is also the option of creating an invisible folder. Any file or folder preceded by a period (.) will become invisible to the finder. However you will need to use Terminal in order to create or rename files to use a period as a preceding character.
To answer your security questions: No operating system is completely secure, however as Mac OS X is now, there is no reason you should need an anti-virus. That doesn't mean you shouldn't run a firewall (hardware router if possible), holes in the operating system do exist, although not super well known or targeted. At the very least, start up the Mac OS X firewall located in the Sharing preference pane in System Preferences.
