If you have a router, you have a firewall. I wouldn't worry about using a software one.
Antivirus programs are not very good at finding spyware/adware/greyware programs, even if they say they are anti-spyware.
The best programs to use to combat spyware is Spybot Search & Destroy, Lavasoft Adaware or Superantispyware. You can find all of those at majorgeeks.com