Keep in mind that everyone of these things is either free of charge or open source. That also means that the updates are free. Running the software with out the updates is the same as not running it at all. In addition to anti-virus software, you should also have anti-spyware software.
You should use more than one anti-spyware package because there is no one spyware package that will detect everything. Each one will pick up things that the others miss. Part of this is based on what gets submitted to the people who make the software which in turn is based on what the users encounter. There are so many that its hard to create a comprehensive list of everything out there that spies on you.
When you're done, be sure to go to Windows Update and apply ALL of the patches. Don't just run the "Express" updates. Run "Custom" and pick all of the software that's available to you. It make take several times before you no longer have patches. Once that's done, be sure to turn on your automatic updates. For Windows XP - http://support.microsoft.com/kb/306525. For Vista - http://www.microsoft.com/protect/computer/updates/faq.mspx
Make sure that you're not running a cracked version of Windows or other software packages. Software doesn't get cracked for the benefit of humanity. It gets cracked because a hacker somewhere wants you run his software on your computer. That means he can use your computer to serve porn and send spam. Or capture your user names and passwords for identity theft.
1) Spybot Search & Destroy http://www.safer-networking.org/en/index.html
2) Windows Defender - http://www.microsoft.com/athome/security/spyware/software/default.mspx
3) Lavasoft Adware - http://www.lavasoftusa.com/products/ad_aware_free.phpi
4) Clamwin Antivirus - http://www.clamwin.com/
5) Fsecure Black Light - http://www.f-secure.com/blacklight/