Hello and welcome to the community!
All security starts with basic knowledge of does and donts. Such as not opening attachements from people you don't know, always check files for viruses when downloading anything off the internet..
What I consider my basic home user security suite, consists of a few different tools, most of which are free.
If you use high speed internet, such as cable/dsl I recommand going out and purchasing a hardware based router/firewall combo usually the cost is around $40-60.
A hardware firewall offers the best protection, where software can leave holes. All the internet world sees is the router, and not your computers.
A firewall is a good thing to have, if you use Windows XP you can use the free firewall system built in, and in about a month when Service Pack 2 comes out the firewall will be top notch, as compared to Zone Alarm or Norton.
As for anti-virus software, it really comes down to preference, there are many good companies out there that provide good protection. My personal recommandation is using Norton Anti-Virus, I've had the best luck with this software for many years.
However you can browse our Anti-Virus software list for a list of makers and downloads, so are even free and they are also good:
Anti-Virus Software List
A proxy also is a personal decesion, it offers a greaty sense of privacy while using the internet. It really comes down to how private you want your life to be....
As far as spyware is concerend you seem to have the proper protection, you could also download a free copy of Adware, you can download it by going to download.com.