To be honest I don't bother about it.
I've got Kaspesky AV, System Mechanic 5, and spybot S&D... No FireWall.
But i keep all of my stuff backed up, and I've made myself a quick install DVD, so if ever anything goes badly wrong I just re-install my Windows partition in about 5 minutes.
All of my games / downloads etc.. are kept on a seperate partition.
I find it's the best compromise between speed and safety.