I think the entire issue is that on Windows XP a virus can install itself without your knowledge or permission. Vista is a whole lot more secure, but not impervious. On the Mac, nothing can be installed without your permission. And in that case it is you, the user, who does the actual install!
The most famous piece of malware on the Mac is a DNS redirect. You are cruzing through your favorite Pr0n site and a message comes up saying that you need to install a specific video codec to view a file. So in your heated state of mind you blindly type in your password and hit the Enter key.
Here is an article, but the title should really be changed:
http://www.virusbtn.com/news/2007/11_01.xml
You have infected yourself and no anti-virus program can save you.
As far as running Windows, whether on a Mac or not, you need anti-virus software. You will get hit.