Windows defender is antispyware and it comes inbuilt into vista and windows 7 and can be down loaded from microsoft for xp but it is not very good on xp and if you have a good spyware program you will normally disable defender because it is inferior.
If your planning on running Avast Free, MBAM Pro, and WinPatrol Plus then some good firewalls are online armor free or paid, outpost firewall, privatefirewall free and extreemly light and i also tried the new pctools firewall the other day and was very impressed, small download and light on the system, set itself up very well and i only recieved one popup about avast, passed all the shield test's and when uninstalled it left behind nothing, but if you dont understand firewalls they can become a hinderance and it is sometime's better to stick with the windows firewall.
All these firewalls have a hips componant and Winpatrol will monitor hips too.