I've always used zone alarm. I've used there free version and it works better than the windows built-in firewall. But in the end I always end up buying the pro version.
I've been using zone alarm different versions for about 4 years, I've tried other free/paid versions but I always go back to zone alarm. I just find it easier to use.
Never use internet explorer (attracts all the spyware) as your browser and 90 percent of your spyware problems is gone. Only use firefox 2.0 and put the "navigation sound" extension on it, and it will look and sound like internet explorer.
and finally if you will be surfing in places that you are unsure of, install "returnil" that program is the best antispyware program available. It will protect you from all known and unknown virus/trojans/spyware, nothing will get though it.
All the above programs work great with windows xp and there free.
My advice is to at least try out the returnil program, I recommend it to everyone. I use it everyday and have it installed on 4 computers and has never crashed any of them. One place you never see me at is the "virus/spyware" forum asking for help.