First thing you're going to want to do is get windows installed, I always choose fat32 mainly because that's the way my disk is.
If this is a brand new hard disk, it will already be clean of everything and all you have to do is install windows on it, You can format it through the installation program but its not needed
If you can before you install, burn as many programs drivers etc onto a disk to ensure that you can have everything without having to connect to the internet, that's if you can
upon installing windows you're going ot want to activate the firewall, and avoid doing any internet activity until windows is fully upgraded and all your drivers from your motherboard, cd drives or whatever you have is installed
once everything is updated and installed then you can proceed to use the internet again, and use it wisely to get whatever you need.. AVG, A firewall, Etc..
I wouldn't recommned you check e-mail or anything utnil you have an AV going, a spyware/malware program going, a firewall up, Etc... only then I would do things like that