you'd need to have it installed on something writeable, hard disk, memory stick or something to be able install extra software, installing stuff means you have to copy it onto the system disk and if you've booted from a cd its read only
dual booting is pretty easy if you boot a pc into windows and stuff the ubuntu cd in, it'll launch an installer asking if you want to install it along side windows and just do the dual boot thing for you without having to remove windows first. If you decide you don't like it you can remove it later and it gives the disk space it used back to windows
firewalls are more than just stopping viruses, they are there to stop people accessing or controlling your machine remotely, but linux is such a secure framework chances of anyone even trying are very very slim. with windows its a must
