Hey Volt:
For spyware, it's usually best to use multiple tools. I'd start with Microsoft's tool:
Microsoft Anti-Spyware
For firewall, if you are running XP, you will do alright with XP's built-in firewall:
Windows Firewall
For anti-virus, I have used clam's product on the server-side (not on a workstation). Based on my experience, their client version is probably decent:
Clamwin
The alternative to using separate tools would be to use something like Norton Internet Security (everything bundled into one). These kinds of tools are OK and fairly easy to use. With a rebate, you can usually get it for around $25-$30 I would imagine.
Also, don't forget about patching. Again, if you are using Windows XP, you should enable Automatic Updates:
Auto updates in XP
Hope this helps - Jason