So, I just downloaded Electrum and was setting it up and when i got to the screen where it asks what kind of wallet I want to create, my Norton Power Eraser popped up saying that it detected a lot of outbound traffic and if I wanted to run it... Should there be a lot of outbound traffic when setting up my wallet?
it is your firewall just telling you of the communication between your SPV node and the Electrum full nodes. and yes it is normal, your wallet application has to download the block headers regardless of your wallet and that is a file with about 40 MB in size.
keep in mind that this is only true if you have the real software installed which requires you to have verified the signature or compiled from source code. follow the links other user posted.
And which type of wallet should I choose?
in "Create new wallet" page choose "Standard wallet" as your start, the rest are a little more complicated and you may not even need them (eg. multi sig and 2FA).
in "Choose seed type" page choosing SegWit is better as your transaction fees will be less than the other option plus some other benefits, but it will create a new address format (new meaning 3 year old) called Bech32 (address starts with bc1) this format may not be accepted by some services so if you wanted to withdraw bitcoin from those to this wallet you wouldn't be able to. i would argue that you shouldn't be using a service that hasn't upgraded their system after 3 years but if you had no other choice you should select the other option called "Legacy" which creates Base58 addresses (they start with 1) and they are accepted everywhere but your transaction fees will be higher.