Joz,
I have gone over this elsewhere in the forum, but will do so again here.
I recommend the following for a layered defense:
Firewall
Antivirus
Script blocker
Cookie filter
Popup killer
Antispyware (resident guard is best)
Process guard (to prevent virus from shutting down antivirus software)
I did use Proxy filters at one time, but found that they needed to be constantly adjusted for web browsing. It is a matter of choice.
Antispam is nice but I do not find it necessary.
Techie