I'm still running W2K SP1 and WXP SP1 with a firewall. No problem. Actually, WXP SP1 is faster than WXP SP2...at least with my system. If you do porns, then you may need SP2, FW, and a bunch of other proggies running in the background.
My system consists of ZA Pro 4.5.594.000 and a full-time e-mail scanner. Virus definition is updated manually. I don't use full-time AV protection. I don't do P2P, etc.... The best source of defense is the USER.
Oh yes, don't forget to turn-off ALL non-essential SERVICES in windows.