How Macs run Windows programs:
Before Apple switched to Intel CPUs, they did it with an emulator. Now that the newer Apples use the same CPUs as Windows boxes, it's still an emulator, but it doesn't have to work as hard and doesn't have to translate every single CPU instruction. The answer is actually a lot more technical than that, but that's the shorthand.

Virus protection:
If you're dual-booting the Mac (i.e., booting into windows, booting into mac), then each side of that system will need its own OS-specific virus protection. If you're just running a couple of Windows apps under Mac OS, then you only need the Mac virus protection.

Whether or not you need any Mac OS virus protection at all is a different question. Depends on the kind of things you guys do with the Mac. Do you download and run a lot of random stuff off the web? Do you open files from other people's systems? Do you browse lots of porn sites or hacker web sites? If no to all of the above, there isn't a lot of virus exposure on the Mac side. I don't have any specific recommendations about brands of virus protection software though.