There's really no need to connect Windows to the Internet if you use a Mac, unless you're testing web pages you develop. Otherwise, limit Windows to just the productivity apps you need.
I use Microsoft Security Essentials on all of my Windows machines. I highly recommend it to anyone who's looking for a lightweight, barebones, and effective antivirus for their PC.
Simple common-sense should be fine. I've been using it as my antivirus since about 2008 and haven't gotten a single virus. Sometime's ill install ad-aware if I accidentally install a toolbar or something, but then I uninstall it directly after. Id rather have my system resources going to my applications I use, not some anti-virus scanner.