A decent hardware NAT router with a built in firewall is probably your best bet. Failing that then it's Comodo, as mentioned by the others. Though the windows firewall is still better than nothing.

For Anti Virus go for AVG.

For anti spyware, those mentioned (Adaware, Spybot S&D) are good. In addition AVG anti spyware (formerly Ewido) is a good program. I also use a neat little program called Spywareblaster which has a nice up to date cookie blacklist for Firefox and IE.

In terms of browsers, just use anything that isn't IE or IE based, so preferably use Firefox or Opera. A decent browser in place of IE is worth ten anti malware tools.

If you want to take it a step further there's always the option of formatting and installing a Linux distro.