From what i've read it is best to look at the 'best of breed' in each category...i.e. firewall, virus etc.
One of the best things I've found recently is winpatrol - it sits there and tells you if anything tries to add itself to your startup and you can stop it, also any IE browser helper objects etc.
PC Pro rave about webroot spysweeper but when I tried it it reported several false positives that I ended up spending quite some time investigating which makes it a no-no in my view.
I use winpatrol, a hardware firewall and AVG Virus and I haven't had any probs...