Firewalls:
http://www.snapfiles.com/Freeware/security/fwfirewall.html

Any of the 4 star programs will do.

Anti-Virus:
http://www.snapfiles.com/Freeware/security/fwvirus.html
4 star rating is good

Anti-Malware:
http://www.snapfiles.com/Freeware/security/fwantispy.html
This section is trickier. I'll make some specific recommendations:

You'll want one active Anti-Spyware program. (never use two active shield A-S programs at once)
Microsoft Windows Defender
or Spyware Guard
or Spybot S&D (with TeaTimer installed)

Two additional Anti-Spyware scanning programs from this list.
Ad-Aware (must have)
or Spybot S&D without the optional TeaTimer (TeaTimer is an active shield)
or Spyware Terminator

Misc anti-malware protection:
http://www.snapfiles.com/Freeware/security/fwantispy.html

One ActiveX blocking program
Spyware Blaster

One Anti-Phishing browser plug-in.
McAfee Site Advisor

One Anti-Rootkit scanner
Rootkit Revealer
http://www.snapfiles.com/Freeware/security/fwsecuritytools.html

Questions about RR can be answered at Security forums like http://temerc.com

How to use them?
Your Firewall, Anti-Virus, and active Anti-Spyware are going to be running all the time. They should update automatically or tell you if it's needed.

Scanners can be used once a week or once a month depending on how paranoid you are.

They should be updated before each use.

Spyware Blaster should be updated and run once a month to keep you protected from ActiveX downloads while using Internet Explorer.

The McAfee Site Advisor plugin will work in Internet Explorer and Firefox web browsers. No action needed once it's installed.

Put all of these in place before you connect to the internet if you can.

The best things in life are still free ...

Clif