Firewalls? I haven't smelled smoke..oh, THOSE firewalls.
a) ISTR XP's firewall doesn't stop outbound baddies.
2) Yes, I know ZA's gotten fat over the years, but I use it on all our machines. Bite-sized trouble and I also sit behind a hardware firewall, and I routinely install multiple layers of AV, anti-spyware, anti-adware, and anti-trojan screeners and sweepers in every machine I get my hands on.
III) I check all the boxes all the time.
Software I use: AVG Free, Eset NOD 32, Spybot, Spywareblaster, SpywareGuard, SpySweeper, A2 Free, ZA, AdAware, TrojanHunter, and more. Not to mention WinPatrol Plus, Prevx...guards! Seize him! OK, I'll go quietly now.
I'm not really paranoid, just kind of a-retentive thorough about this stuff. Depending on the machine, I'll even use (shudder) payware.