i'd reccomend webroot's spy sweeper, rather than spybot or adaware - it finds more, trust me, i've done it a thousand times in the last few weeks, - i've been working in a comp shop, and about 90% of the work is due to virus / spyware, and people not being internet safe, basically, i'd also recomend norton over mcafee, (this is personal taste).
i wouldnt use zonealarm - id also choose sygate, but i have a hardware firewall, which id reccomend to anyone anyway - over software firewalls anyway
also if you have a HOSTS file with blocking these are useful,
and for those who use msnmessenger block RAD.MSN.COM - it'll block the random ads at the bottom

and therefore no stupid adverts and silly spyware will attack you from there
also get firefox, its great