There are several good free firewalls available, all have their supporters on the forum, ZoneAlam you already know, but there are also my favorite Kerio 2 click here , Sygate click here & Outpost click here . Firewalls control the flow of info to and from your PC and keep hackers out while you are on the net, general oppinion is that for a dial up connection you probably don't need one, for broadband it's a must have. I'm on dial up and my view is they're free so why take the chance.
Spyware cleaners like adaware click here and Spybot click here find and remove tracking cookies that marketing companies drop on your PC to track your browsing habits. They do this anonymously so are fairly harmless, but I object to stuff that spys on you being sneaked in, so always clean up with spybot on a regular basis. You can also use Spywareblaster click here , this sets "Kill bits" that stop a lot of spyware ever getting on your machine .
I've never had any clashes between antivirus, firewall or spyware cleaner so recommend using all three. You can install adaware and spybot at the same time, some people use both to ensure a comprehensive clean up, don't use multiple antivirus or firewalls, they can clash and cause problems.