I recommend Comodo or PCTools firewall, both have free versions which have exceptional blocking capabilities. I personally like PCTools better as it seems less resource-heavy.
http://www.pctools.com/firewall/
Comodo fireall
http://www.personalfirewall.comodo.com/
I don't recommend zonealarm as they track your useage patterns and send that info back to their servers.
AVG is good, but I also recommend Avira AntiVirus
http://www.free-av.com/
FireFox 3 with the adblock plus extension is also a must.
http://www.mozilla.com/
http://adblockplus.org/en/