Ideally you want 1 active anti-virus, 1 firewall, and a few anti-spyware
Firewall
Not many options out there for Firewall
I recommend Comodo - make sure you select the advanced option when you download it, It will be a pain at first while it learns your habits, but eventually it will settle down.
Anti-virus
For Anti-virus -> AVG Free is good /
If you are looking for paid protection -> Kaspersky received top marks with Vista
Anti-Spyware
You can run a combination of anti-spyware (these are all free)
-Spybot S&D (make sure you turn on Teatimer)
-Adaware 2007
-Superantispyware
You should also run a program to clean temp files regularly
-Ccleaner (check all boxes including advanced, except old prefetch data)