To avoid conflict, do not use two firewalls at the same time. Before installing a new firewall, completely uninstall the first. The Windows firewall offers only basic protection, and it is recommended that you install a third-party firewall - disable the Windows firewall before you do so, of course.
After installing any security software, immediately check for updates at the vendor's Web site.
Do not install Windows and then get online to download anti-virus software or definitions. Before you get online even for the first time, you should have installed an anti-virus with updated definitions off a CD.
Use an online testing service such as Microsoft's Windows Live Safety Center at http://safety.live.com/ or Kaspersky's Free Online Virus Scanner at http://www.kaspersky.com/virusscanner if you can't afford or procure anti-virus software. During an online virus scan, an ActiveX component is downloaded to your computer, which deos the actual scanning. You need to stay online for the length of the scan.