Your firewall definitely won't protect you unless it has malware protection built in. I would suggest installing an e-mail gateway that can provide malware protection such as NetIQ's MailMarshal or Symantec's Anti-virus Gateway. You could also use a third-party ASP service that provides e-mail protection such as Singlefin. Either way, if you can detect/eliminate malware at the network perimeter, you'll be much better off. Also, be sure to install malware protection at the desktop level as well, in case something does get through.
Dig Deeper on Network Firewalls, Routers and Switches
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