...and here's why.
AVG antivirus is free and effective: [link|http://free.grisoft.com/doc/1|http://free.grisoft.com/doc/1]
Personal firewalls are no substitute for the one on your router, and the built-in Windows XP firewall is far less obtrusive than things like Norton Easy Internet Personal Security Web Center, or whatever it's called. Far better to simply unbind MS networking from the internet-facing network connection.
All that happens with personal firewalls is that inexperienced users get asked "Do you want to allow FOOBAR.EXE to access the internet", and they'll click "Yes" on everything, because they rapidly become conditioned to the idea that doing anything else will cause things to break.
So, my recommendation is to leave the Windows firewall on at its default settings, get AVG, and then proceed with your excellent Ad-Aware/Spybot advice.
A general recommendation is for anyone with a broadband connection to get a proper router. [link|http://z.iwethey.org/forums/render/content/show?contentid=191078|I've got] a Buffalo wireless router with all the usual security doin's. I leave my computers (2x Mac, 1x Windows, 1x Linux) unfirewalled and do all the legwork at the router. This means my internal network is easier to work with.