In an ideal world, all you would need is avast! ;D. However, since this is not an ideal world, it is probably better to have specialised programs for each area of security - one for antivirus, one for antispyware and one firewall application.

Some suggestions (all free for home use):

Firewall:
Outpost: http://www.agnitum.com/
Sygate: http://www.sygate.com/
Kerio: http://www.kerio.com/kpf_home.html
ZoneAlarm http://www.zonelalarm.com

Antispyware:
MS Antispyware Beta: http://www.microsoft.com/athome/security/spyware/software/default.mspx
Ad-Aware: http://www.lavasoft.com/
Spybot Search-and-Destroy: http://www.safer-networking.org/en/index.html