Since Firefox and Opera (or browsers that don't use the IE core, clones) don't use activeX or BHO and aren't integrated into the OS, they are a somewhat less vulnerable to certain malware than IE.
Firefox also has a number of security related extensions that you can install that will further enhance its security. Possibly the most useful is NoScript that by its name stops any scripts running when you visit a page unless you allow the script to be run. This is how many infections are started by a script being run when you visit a web page which could download malware to your system and then execute it.
There is also the DrWeb link checker, were you can right click on a link and have DrWeb do a virus scan on the page, if clean you can visit. Another useful one is McAfee SiteAdvisor this can give an indication about the sites rating, spyware, virus, adware, scams, etc.
There are others but these are worth investigating.