Hi, the existing windows firewall isn't too bad (not great, depends on where you go on the web) You could go down the route of an all in one pacakage, (currently using PC-Cillins new all in one on my Vista rig)
The real thing to concern us all is Defender.. which they are trying to improve, but still misses a lot of spyware.
Since you have purchased the firewall.. I would suggest sale of goods act, and refund.
some useful links are: click here
And: click here
For proper spyware defence:click here