Creators of computer viruses have thus far been unable to write a virus that has been able to infiltrate the Windows Phone. Even if it came into the phone through email or browser, it would be confined to that particular app, and only while open. Once the app was closed, the virus would be gone because the sandbox area would be disposed of.
This is why there are no anti-virus for Windows Phone in the store. It isn't because the store is lacking, it's because the OS is just that secure.