wubi is simply an installer for Windows. Once the installation has completed and you select Ubuntu, you are actually using Ubuntu (as opposed to Windows). Therefore, I see no reason why you should not use the gufw firewall. However, if you're using a router for your Internet connection, it should have a built in firewall, so a further firewall shouldn't be necessary.
As regards anti-virus software, it's not necessary at this present time. Whether that will alter in the future, who knows, but Linux is simply not at risk in the same way and you don't have to nursemaid it like Windows.
If you're really unhappy about that, then clamav is a powerful Linux anti-virus application, but be aware, you won't have fancy a GUI, as it's written primarily for Linux email servers.
I've been using Linux for about 5 years now (for all intents and purposes as an exclusive system) and have never needed to use anti-virus software on my desktop production machine. But I do have it on my email servers, as Windows infested emails are still very much the norm. This is purely to protect my Windows users connecting to the servers.
Use Ubuntu, relax and enjoy :-)