I'd definitely recommend Spyware Blaster. It prevents a lot of cookies and spyware from getting on your PC.
If configured correctly, you can probably get away with just Spybot, Ad-Aware and another free program, but really, you need a paid one, like CounterSpy or SpySweeper for maximum protection.
MSAS has took some spyware off its list recently, so i don't recommend it at all.