Just by the mac disk
You can do a "Hackintosh" but I wouldn't recommend that.
the adventages
Very simple to use and secure.
where to buy
I bought from Apples online store and from David Jones, Myers, JB HiFi
do they need a firewall
Firewall is built in but you can also purchase a small program call "
Little Snitch" which monitors everything in and out.
can you still log onto other windows programs
Window and it's programs can be installed via Apples Boot Camp (comes with your new Mac) or you can get a paid programs called Vmware or Parallels which will allow you to run Windows at the same time as Mac OSX.