i dont bother with a firewall or a virus scanner, and have set myself as dmz.
in over two years i havent had a problem, you just need to make sure you update windows as soon as security patches are made available, which is easy if you stick it on auto! i know microsoft dont fix problems immediately, but they do do it b4 the tools are made available for the average script kiddie to exploit them!
occasionly i use trend online virus scanner and rootkit revealer to check things over.
in short, if your careful about what your downloading, you'll be fine