If you're going to use AVG, do the webmasters of the world a favour and don't install the AVG LinkScanner option as it's increased global traffic significantly
http://it.slashdot.org/article.pl?sid=08/07/03/1411254. An alternative is McAffee's SiteAdvisor (for Firefox and I.E.)
http://www.siteadvisor.com/
A good (and free) software firewall is Comodo
http://www.personalfirewall.comodo.com/overview.html