Anti-virus is a totally different thing to anti-spyware and most of the people I know use 2 separate programmes.
If you're using Windows XP or Vista, you should have a built in firewall anyway... just make sure it's turned on.
It's advocated just to run one firewall at a time, so if you want to download a personal firewall... remember to turn off the Windows one.
My PC is pretty safe though, as I don't visit dodgy sites and rarely click on links that are posted on forums.
One way to check and see if your PC is well protected in run a test through
ShieldsUP
Click on the buttons in the box one at a time and a check will be made on your PC - File Sharing >> Common Ports >> All Service Ports >> Messenger Spam >> Browser Headers