I have mixed feelings about it all. While firewall and AV are very important, they can also interfere when installing service packs and updates and other software.
My usual steps are to install Windows -> drivers -> updates -> programs -> AV last. Hate to say it
And I never use software firewalls, hate those things. At least on MY personal PCs I don't use them.
WHY?
Well for one, I'm always behind a hardware firewall. For two, I always install strait to Windows with the latest service pack slipstreamed. Now having Sp2, it adds the ADDITION of the Windows firewall during this setup time. But that is now double-firewalled with hardware and software.
Third, I don't expect viruses to jump off Windows updates when I download them. It's no different then installing an Antivirus, and having to connect to get the updates for it, there is still a time of not being protected fully. And it doesn't take long to do all the updates on a high-speed connection. But if your first line of business is to find your porn or look for software cracks, expect your PC to DIE without that protection.
Since the Antivirus or security suite is so obtrusive, I put it on last, to be sure it doesn't mess with my previous installing.
I've done it this way hundreds of times over the years, never failed once.
HOWEVER, if you don't have SP2 slipstreamed, or if you don't have a hardware firewall, or if you're on an unprotected network etc... Get your protection on as early as possible!
And that's all I have to say about that...