There's a lot of mis-information about security on PC's, as well as a lot of real information.
For a quick overview it's worth reading the information provided by some of the Internet Service Providers, such as

www.tiscali.co.uk/members/safety_and_security/             and             www.virginmedia.com/digital/security/

and probably lots of others.     These will tell you about, and maybe give you links and reduced rates on

Virus Checkers - and the free one I've been advised to use is AVG, which you can download from www.grisoft.com/doc/download-free-anti-virus/uk/crp/2
I understand that this has a slight compatibility problem with Vista, but cannot confirm the details - try the grisoft site, MS help or one of the many support discussion groups for more information.

FireWalls - and you may have spotted that Both Windows XP and Vista come with their own MS firewall.     I've been advised to use ZoneAlarm, which you can download from www.zonealarm.com
and Lavasoft, below, also do a free firewall

Spy Ware - free anti-spyware, Spybot available from www.safer-networking.org

Ad Ware - free Ad-Aware from www.lavasoft.de
On my PC this picks up quite a few tracking cookies every time I go on-line.     In fact my PC wouldn't let me do anything online, but this still picked up a tracking cookie!

and then there's whichever multi-pack is Norton's latest offering.
These can be downloaded for money from www.symantec.com/en/uk/index.jsp

There are many other providers of these products, but I don't know enough about them to list them.
I beleive that's the main set of protection stuff, if I've missed out any important ones, please let me know.

OK, so you follow the instructions on the website for each of these to download and install on your PC.
You run a scan with everything except the Firewall, and they pop-up with various problems which you can usually just allow the software to fix.
You will also need to run updates for these - which you may be able to set to run automatically (every day, once a week, or whenever, depending on how paranoid you want to be, and how much time you spend online) or you run the update manually from the applications main menu.
The relevant application just talks to it's home site and get the latest list of viruses, adware, spyware to check for and copies that onto your PC.
If it's one you've paid for, you will then have to renew your contract every year and download the latest version.     The software will give a pop-up of some type to let you know.     This may seem like teaching grandma to suck eggs, but if you don't know about the renewal stuff in advance it can catch you out!

That's all I can think of right now, so if it's not good enough, go do your own research!