No anti-virus software is needed on your Mac. If you feel more comfortable with having some anti-virus software (as I know some people do coming from Windows), please don't choose Norton! I hear that iAntiVirus is about the best around for your Mac.
Assuming that you're using Safari as your browser (you don't say which browser you're using), to remove cookies, go to Safari preferences, then to the Security tab, click Show Cookies. From there, you can choose to remove individual cookies, or remove them all.
Again, assuming you're using Safari, to empty the cache, go to the Safari menu, then select Empty Cache.
If your Mac is set up as standard, most downloaded files will be in a folder called Downloads. To empty that folder, locate it in Finder, open it, select all files, then command & click and select Move to Trash.
Hope that helps you. Enjoy your Mac!