Don't trust the windows firewall, use something like ZoneAlarm or Comodo Free Firewall to protect yourself no matter what, they will do a better job than the built in windows firewall.
http://www.zonealarm.com/security/en-us/home.htm?lid=en-us
http://www.comodo.com/home/internet-security/firewall.php
For the antivirus side, you could consider Avast 5 its free, popular and comes loaded with security features or you could choose to buy Kaspersky the world's number one and best antivirus software.
http://www.avast.com/en-au/index
http://www.kaspersky.com/
Making sure you computer is fully patched, along with the antivirus and firewall is very important but like digip mentioned above its true, you will never be 100% secure, there are always other methods for a malware/virus to get into your computer.