Spybot won't catch everything, so you'll also want to bring Lavasoft's Ad-aware. http://www.lavasoftusa.com/
Since these two may miss a particularly virulent search bar or home page hijacker, add HijackThis from SpywareInfo. http://www.spywareinfo.com/
Finally, if the protean CoolWebSearch hijacker is present, only the latest version of SpywareInfo's CWShredder has a chance of eliminating it. http://www.spywareinfo.com/
Antivirus
Grisoft offers a free version of its AVG Anti-Virus for personal use. Don't forget to record the serial number, as you'll need it for installation. www.grisoft.com/us/us_dwnl_free.php
Personal firewall
Windows XP has a built-in firewall of sorts, but the firewall doesn't offer the protection against the misuse of your Internet connection by rogue programs that a standalone personal firewall would.