If you have both machines on at the same time and they are connected to the same router.. then a malicious worm from one PC could "see" the other PC and attempt to infect.
The router will do little to protect.. I don't think the firewall will do much on local LAN connections.. its mostly focused on checking the WAN connection.
So both machines should have firewalls on and active.. and ofc - antivirus software.
If get a guest machine on my LAN.. even though I have Firewall/Antivirus I make sure my machine is off until I have checked the new machine .
A Windows based PC is very unlikely to infect an OSX Mac (and vice versa) unless they are sharing infected files directly. This assumes that both are up to date, using current Anti-Virus software, and have even default security settings in place.
Going back to the original question, while technically possible (as yoji points out), it is incredibly unlikely to occur (infection).