Wireless Broadband Security

Hi,
Just bought a notebook for the first in my life.
Using a Vodafone USB wireless broadband modem for internet.
Notice there is no hardware firewall as in the normal (ADSL)router/modem setup.
What is the best firewall to use?
Does the following package provide sufficient security protection?
My system;
OS: Vista Home Premium with Service Pack 1
Firewall: default Vista firewall
Anti-virus: AVG Free
Spyware: Windows Defender, Spybot search & Destory and Ad-Aware