Good Security Solution
If running hispeed internet a router is a must. Having a hardware firewall is the best way to start, even if you only have 1 pc get one.
As far as software protection runnng Avast! Home free AntiVirus alongside with Microsoft AntiSpyware will keep the PC protected. They are both free and very effective. Ensure that windows is completely up to date. Manually go to the Windows Update site to ensure validation is completed and that all updates have been received. As well enable the XP Firewall.
From my experience running to many AntiSpyware programs which remain resident in memory or run in memory can slow down the performance of a PC. SpySweeper is one in particular which uses a lot of system resources. MS Antispyware is still in the Beta phase, however it was in use for several years before MS purchased the program from Giant. A lot of people speak of MS Antispyware not being effective and missing spyware. MS Antispyware does not search for cookies or minor tracking objects. It only looks for the malicious problems. Running Adaware will clean up the rest. As well many people speak highly of SpywareBlaster in its abilility to prevent Spyware before it ever has a chance.