Yes, it is suggested that you run some kind of AV software on your Windows partition if it's bootcamped. Reason being, you're going to be connected to the web on it no matter what at some point. Why not be safe. Just use something that's available for free. Avast is my suggested course, but there are others. For me Avast has been reliable and hasn't ever slowed down any of my systems.
As for your hardware. Check the requirements of the games vs the hardware specs you have (mostly CPU/RAM/VIDEO). In terms of failure due to heat... anything is possible, but unless you have irrefutable proof that the previous HD failure was due to excessive heat during prolonged periods of time, you cannot say that's what did it. Could have just been a normal HD failure.