In the Security Centre you can expand the fields to find out what security you have on your PC.
To the right of the word Firewall should be a small arrow. Click on it and it expands to tell you more.
You can do this against Spyware as well.
Where your security centre says "Spyware and malware protection on" it is probably the one included in Vista.
I think this is included (not certain as I do not have Vista yet). It may be called the Malicious Software Removal Tool.
More here:
http://www.microsoft.com/security/malwareremov e/default.mspx.