What platform are you running on? I presume XP, so firstly this must be up to date and SP2 downloaded. I would also install Microsoft Beta Anti Spy wear (Free from Microsoft Website) I find it is excellent in advising on attempted changes.
My firewall is Zone Alarm Pro although if you do not need the Anti Virus ordinary Zone Alarm (Free Version) is good.
Personally EVERY Firewall needs "TRAINING" or setting up for your own system. I find Zone Alarm and MS Beta very forgiving, as they only BLOCK various addresses and sites, so if I DENY Access to a Valid site by mistake, it is very simple to go into ZA or MS Beta and then allow it. As my PC XP is a Finnish version and I do not speak Finnish this happens a lot (or the wife and her daughter who both "Click First" and "Think Second".
Everyone has their own favourites, I think it depends how you use your PC and your level of understanding.
My PC out of Interest has the following.
XP with Auto Update ON
MS Beta 1 with Auto Update ON and Runs Scan at 1am Daily
Zone Alarm Pro. (FireWall, Anti Virus etc etc. Auto Update ON Real Time scanning Enabled.)
SpyBot S&D. Tea Timer Enabled and Inoculation Enabled
SpywareBlaster with Inoculation Enabled.
The final set up and choice of programs was with the help of THIS SITE. Today my PC runs very smoothly and I do not suffer ads, pop ups, Spy ware (Occasional, but know about it now) or viruses.
So my answer is What I have appears to do a great job for me. On Line Gamers may advise different etc.