Zone Alarm is great firewall program, definitely recommended.
Despite what Gryff says, a router is NOT as secure as most firewall programs. First of all, a router will only protect you from external threats (people attacking your PC from the internet) and not against internal ones (suspicious/malicious traffic coming from your PC back out onto the internet.) Also most people don't know how to properly configure their routers to provide the maximum amount of protection, whereas Firewall software is easy to configure and does most of the work for you.
As for anti-virus protection, nothing beats NOD32. Unfortunately, it's not the easiest program to use and I wouldn't recommend it for the average PC user. It's pretty simple for someone who has some PC knowledge but not as simple as Norton, Mcafee and other more common AV programs. Unfortunately, it's not free (unless you know how/where to look

) so if you're looking for a free program then I would go with AVG. It's not as good as other programs that you would pay for but its definitely the best free program out there.