New Laptop NO virus protect. Ok to DL AVG online?

[grinin]

After ordering my new laptop without any sort of virus protection, I saw a thread that said unprotected computers often pick up as many as 3-4 virus/spyware bugs within seconds of connecting to the internet. I had initially planned on going directly to the AVG site and download their free antivirus software (same stuff I have been using on my desktop for the last year, and am happy with), then follow that up with MS antispyware, adaware and spybot S&D. But that thread has me a little concerned. Should I be?

It has Microsoft Windows XP Home Service Pack 2 preinstalled which I understand has Windows firewall (also using on my desktop). Is this enough to protect me? I have a cable modem (have not purchased the router yet). Should I download and install these in some other order?