Here's a question about Viruses

If you have a firewall on your comp, how can a virus get into your computer (unless you download a file and execute it yourself).
How is the real time protection any different v.s. a firewall?
As well, do AV's prevent executable and cab files from being executed, if so, wouldn't SpywareGuard do the job just the same (since it prevents cab/exe's) from running.