The best free firewall is Comodo's.
AVG Free is good but I've switched to Avira AntiVir because it has way better detection.
For other malware I use Comodo BOClean and Spyware Terminator as resident, and AVG Anti-Spyware free version for on-demand scans, I could use more on-demand ones if I suspected infection. Ad-Aware was not bad years ago but now it can't be compared with the (even free) products around. A new version is due soon though...
Opera as browser, cookies and script blocked by default, only allowed for trusted sites --such as Abandonia. This way I can surf somewhat nasty
websites feeling secure.
The most important thing is using a safe browser with a safe configuration and having safe habits (not opening spam attachments, etc.), that way it's unlikely for you to get infected in the first place. I myself have never got infected.
But what you shouldn't do is surfing the web with an Administrator account. If you only have one account in your Windows, you should create another limited account, use that one and protect the admin one with a password. Because a virus can do only what the account he's got in can.
The "Ultimate" protection, and a protection that's easy to implement and use for every beginner user, are two different and in fact contradictory things. For example if you install a firewall other than Windows' you'll be forced to answer questions "do you want to grant this program Internet access" etc. Even advanced programs can be configured to let you alone though, but that means less security. There are also some programs around that somewhat increase your safety without bothering you with popups.