Yes you should install security software on your Windows PC. Most popular Security Suites include anti-virus and firewall software. The anti-virus will scan your computer and downloaded files for malicious programs and give you options to remove or manage this. The firewall will monitor and control how programs and services connect to the Internet. Both are important to protect your network and devices from malicious attacks.
Security software is also available for Macs and your mobile devices. The benefits of installing this software on your Mac are less clear as the Mac OS is less vulnerable to being compromised. Whether it is worthwhile using security software on a mobile device will depend on the situation, who and how it is being used. I recommend you consider using this (and parental controls) for your children’s phones.
Installing software is not foolproof and you still need to follow basic rules to protect your security and privacy. Importantly includes not clicking on suspicious links or opening files from unknown sources. One of the best things you can do for your children is talk to them about how they use the Internet and agree on some strategies about what’s appropriate.