It cannot be overstated - you must have a firewall if you use the internet! Currently one of the best scoring firewalls is Comodo. It can be a bit complex for an inexperienced user, so if you really want something simpler, try ZoneAlarmPro (not the free version which is less powerful, but the paid upgrade pro version).
http://www.comodogroup.com/
http://www.zonealarm.com/
Another option or (addition) in the area is NetPeeker. It is a real 'set it and forget it' program that lets you see details of all traffic in and out aswell as having a firewall that is quite basic, but by default is set up perfectly to protect you from incoming attacks while still allowing you full freedom. We found it runs quite happily alongside Comodo and gives you that extra peace of mind because if Comodo failed, NetPeeker would still catch anything. But if you find it conflicts at-all, turn it off.
http://www.net-peeker.com/
Avast. You must have an antivirus program. Avast is free for personal use, and has been very reliable over the several years it has been available. The virus list is updated usually twice a week which will keep you protected from anything new.
http://www.avast.com/
SpyBot Search & Destroy. You also must have an Anti-Spyware program and SpyBot is one of the original and best. Beware of rogue programs that pretend to be this one - there are a lot of them around that are actually spyware pretending to be anti-spyware. If you find yourelf considering another program, do some thorough research on it before downloading it. In fact, only download such programs from reputable sites like SnapFiles or MajorGeeks.
http://security.kolla.de/
FM by BB. A very clever tool that you can run before and after installing any software. It will then tell you if the installation placed any files in critical areas of the hard drive. Often such files are not removed when you uninstall, so you can keep a list to delete them manually. The program can also be set to do a check whenever you start the pc - this can catch any malware that has hidden itself ready to run at startup without your knowledge.
http://www.dogkennels.net/filemap/
RegistryProtector. Similar in a way to FM by BB, it guards certain critical areas of your registry to prevent secret autoruns. If anything tries to install in those areas, RegProt alerts you instantly and allows you to delete the entry if its something you were not expecting (genuine installers often do install to the registry, which you would be expecting - you're really looking for things that try to get in there when you can see no logical reason).
http://www.diamondcs.com.au/index.php?page=products
StartupControlCenter. You can end up with many things autorunning from the startup folder or from the registry. This utility gives you quick access to all such areas so you can take control, delete undesirable items, or just disable them if you wish.
http://www.sureshotsoftware.com/products.html
WhatsRunning. A very deep look into all the stuff running on your pc, and I mean deep. It can be daunting when you view it - what does it all mean? But you'll find you'll need it for looking into certain areas sometimes, such as finding out exactly which programs are connecting to the internet, what's using up your pcs processor time etc. There are some tools that just let you see the summary, but its a good idea to have one like this that goes all the way in - and you only need to go as deep as you need to.
http://www.whatsrunning.net/whatsrunning/main.aspx
JPG Scanner. Probably not as widely known as it should be, it is a fact that among all standard image file types, the JPG is the one that can contain a virus. Such a virus can be activated simply by viewing the picture. This tool scans one or more pictures and tells you if they contain a virus.
http://www.diamondcs.com.au/jpegscan/
JPG Cleaner. A good tool to use with the above one, this strips out completely the section that can contain a virus (such a section is not needed in the picture and the picture will behave fine without it. In fact you may be surprised just how much smaller the file size becomes).
http://www.rainbow-software.org/programs.html