I used prevx for a bit to, but really hated it after a while.

On my home computer:
XP Pro
SMC EZ barricade Wireless Router/Firewall cdw.com good price there
Norton Internet Security 2005 (Norton AV, and Firewall)
Ad-Aware Pro with Ad-Watch

Same Setup on my second PC with XP Pro


Laptop
Norton Internet Security.
Ad-Aware pro with ad-watch


of course I have some uneeded services shut off to.