I connect thru a properly secured router and use Windows firewall. For anti-virus and anti-spyware I use AVG's free products.
http://free.grisoft.com/doc/2/us/frt/0
http://free.grisoft.com/doc/download-free-anti-spyware/us/frt/0
They don't seem to slow my computer at all.
I use SpyBot Search and Destroy, available here:
http://www.safer-networking.org/index2.html
I use SpywareBlaster, available here:
http://www.javacoolsoftware.com/spywareblaster.html
Both SpyBot Search and Destroy and SpywareBlaster prevent malicious spyware from loading on my computer in the first place.
One other preventive measure I use is to have Firefox as my browser with the free McAfee Site Advisor and Adblock Plus plug-ins.
I pay attention to what I download and where I get it from. I've gone for months without having any problems and I'm not exactly ultra-conservative in my browsing habits.
I stay away from any file-sharing software though I don't recommend that everybody do the same. I just don't "share" and I'm happy with my decision. I've never been happy with P2P software in the past and besides, my ISP's cap on bandwidth is so low at 350MB down per day that downloading large files is out of the question.
That's about it for me. Nothing exotic and definitely nothing expensive. I've used and own commercial versions of Norton Internet Security and TrendMicro's PC-Cillin Internet Security Suite. Over the past few years I've tried about every version of firewall, anti-spyware and anti-virus I could find. I'm sticking with what works for me until I find a compelling reason to change.