Judging by your question, I'm assuming that you're a relative beginner to internet security. I'm also a beginner, but I've had to learn a lot because I've had so many attacks on my computer lately. Here's the beginner explanation:
Security programsnotify you of attempted attacks, hacker activity & other security issues. Most of these programs will try to fix the problems for you, but they may not be able to address all issues. Common, easy to use versions are Norton, McAfee and ZoneAlarm. I, and other people I know, like ZoneAlarm. One thing: if you run a firewall from one of these programs, disable all other firewalls so they don't compete. One firewall is more effective.
Protection refers more to addressing the cause of security problems. Example: my husband, who doesn't even qualify for "beginner" yet, had Norton Internet Security (anti-virus & firewall) running on his computer, but had not disable NetBIOS or file sharing. Someone got into his computer & deleted a registry file.
I hope this helps and if anyone out there sees errors, I hope they will speak up.
Helpful websites people have sent me to:
http://samspade.org
--traces attacks, domain names, etc. Free & interesting
http://www.eventid.net
--explains event id codes (found in security event log in computer management), has other helpful info. $15 for 1 year.