I work as a network administrator for a large company, so I see it all. For protection on my personal PC, I use Trend Micro PC-cillan, Microsoft AntiSpyware and the Windows XP SP2 firewall behind a D-Link hardware firewall. One reason to use the Windows XP firewall over other products, is that it is working even if you log off, and it is on as soon as the pc boots. Products like Black Ice and Zone Alarm only load after logging on. I have not had anything get to my computer so far. I see the results of an infection all the time and it is a lot of work to get rid of a virus or worm once it is on the network!
Also, keep all the security patches updated on Windows! Very important. Cheers!