I can't speak specifically for Mandrake, but generally Linux is much safer for the Internet. There are anti-virus programs around but most of the virus seemed to aimed at particular modules within Linux and most of them seemed to be VBS scripts which are more a nuisance and can be removed easily.
I don't have ant-virus on my Linux, I'm more at risk of sending a virus onto someone than getting attacked myself. I did try qftprot anti-virus, but removed it. click here
I use Firestrarter for the firewall click here it runs in the background, I don't even know its there, its very unobtrusive.