As has already been said:
AVG:
http://free.grisoft.com/doc/download.../frt/0?prd=aff
Ad-Aware:
http://www.lavasoftusa.com/products/ad_aware_free.php
FireFox:
http://www.mozilla.com/en-US/
I recommend
Peer Guardian. It actively blocks communication with a routinely updated list. Alternatively, checkout
http://www.opendns.com/ You replace your DNS servers with theirs which block communication with known malicious websites. Plus, if you sign up for an account, it can provide network filtering outside of programs like NetNanny.
You shouldn't need an extra firewall program like ZoneAlarm unless you want more control over your ports on your PC. Just ensure the Windows Firewall is turned on and if you have cable internet, put a hardware firewall in-between the modem and any PC connected to it.