[Saintly]

Everyone should allways be running a firewall, virus scanner and anti-spyware software.
firewall- the MS WinXP firewall will do in a pinch but i think that zonealarm is a better (and also free) option.
virus - allways run a scanner. i like McAfee but there are many other options. some free.
spyware - get "spybot search & destroy" and "adaware" and run a scan over your PC with each. spyware is one of the largest threats on the net these days and they can install their own services to alow them to use your PC as an SMTP server for spam (as well as many other things..)..

the fire wall will be the most effective at stopping new threats but you will have to clean you system with the other programs once the wall is up. then a scan once a week or month will be enough (depending on how much your online)
hope this helps