What SD said (there's a surprise!).
I use ZoneAlarm and AVG, AdAware, Spywareblaster, and a very good hardware firewall. I've not had an infection in a very long time.
The advantage with those particular ones is that they don't slow down the computer like certain (expensive) commercial products.
I get "TOTAL STEALTH" reports from ShieldsUp! - that's well worth a check.