What's your network set up? Is your Fedora box behind a router, or plugged up straight to your cable/DSL modem? If your behind a router, you probably don't need a firewall (an exception might be if it was a wireless router). Routers themselves typically act as firewalls. Furthermore, if you've got some old hardware laying around, try running Smoothwall. It's a linux-based firewall/intrusion detection system with some rather advanced features. It'll give you a better sense of Linux's capabilities in network appliances. And it's FREE!

As to the question of Linux being more secure than Windows, I think it's safe to say "yes" based on the most common security issue: rogue software such as spyware and viruses. Linux is far less susceptible to those than Windows. Yes, you want to patch your system like you do Windows.

As for Internet Explorer, I do run it on Linux under Crossover Office. I still find it amusing to have an IE icon on my Xandros desktop. He-heh, I even got a spyware infection recently via Internet Explorer in Linux, but it's not running as it would in Windows from what can tell. It was "180 Solutions" and I simply deleted the folder.

Hope this helps...