Kerio is a great free home firewall: http://www.kerio.com/ another good free product for home use is Comodo http://www.personalfirewall.comodo.com/
Of course you need free up to date anti virus and AVG is one of the best, small light and simple to use. Better than many commercial offerings. AVG free is a good free home AV product this will remain free even when the current v7 runs out this month. Remember AVG still has a free version of the new product! http://free.grisoft.com/doc/1
Keep only the Cookies you want...
CCLeaner is a good windows clean up tool for internet and general use. When you install it select the option to skip installation of the yahoo toolbar, the default is to install it. http://www.ccleaner.com/download/
In CCleaner I set it to clear cookies and temporary files when Windows starts. The fix problems with Windows also works very well. Good software and free. Great for ensuring private information in cookies etc is cleared out. You can also select to keep the few useful cookies that you have on your system. Also great for security and if you use cashback sites like quidco.com excellent if you live in the UK and buy things on-line, I got over £300 cash back from Quidco in 2006. Excellent site.