Process explorer is also a handy program to have.
Fuck Zone Alarm. Seriously I had them for a long time, I mean, like 4 years and they've done nothing but go downhill. Go with BRiT's suggestion and get Nod32. I have Mcafee but only because it's free for military personal, if you're going to pay for it, make it worth the monies.
Otherwise use Norton 360 (despite the reputation they righteously gained for slow performance, they have cleaned up their act in the last year and are once again worthy of installation).
Never ever ever use Symatec or Norton AntiVirus. They are absolute crap.
As stated already, use Eset's Nod32 or Kaspersky. The combo listed "AVG Free and Microsoft Security Essentials" isn't that bad, but are second rate to Nod32 / Kaspersky.