Welcome to the forum. Excuse me for the excessive cursing there. It's just that people always argue about the most stupid of things. We never really see the bottomline because the surface is filled with crap.
For free firewall protection, you can just use Windows XP Pro's built in one (Internet Connection Firewall). It's not very good, but for beginners it's useful. For a separate application, you can also use Kerio's Limited Edition Personal Firewall for free. Agnitum also has a free firewall version of their popular Outpost firewall. Although the most popular firewalls aren't free, but they generally offer more features. These payware firewalls are Sygate, ZoneAlarm, Outpost, Tiny, Black Ice Defender, and many more.
Take a look at this link: http://www.free-firewall.org/
A now free trojan scanner is Anti-Trojan 5.5 (now known as a2 free). Read about it here: http://www.emsisoft.com/en/
Other interesting reads: http://www.wilderssecurity.com/showthread.php?p=377574#post377574
Trendmicro has a free antivirus/trojan: http://www.trendmicro.com/download/dcs.asp
(Download Sysclean Package and latest virus patterns)
Arguably the best trojan defense application is TDS-3. It's not free though. The most popular and well-known Trojan Hunter, Trojan Remover, Black Ice Defender, etc... are not free as well. Of course, many others as well.
Not too many free anti-virus anymore. One if I recall is AVG: http://free.grisoft.com/doc/1
Another is Avast: http://www.avast.com/eng/avast_cleaner.html
Of course Trend Micro as I mentioned before as well.
The most popular and well-known anti-virus scanners are Norton, McAfee, Kaspersky, Dr.Web, Nod32, Panda, Sophos, EZ Antivirus, F-Secure, Penicillin, Trend Micro, AVG, BitDefender, and many more are unfortunately not free. Nod32, Dr.Web, Kaspersky, and F-Secure are arguably well-respected.
For free spyware removal, you can use SpyBot. Others may recommend something different. HiJackThis is also a useful software. Lavasoft's Ad-aware "free version" is also good. Again, other useful spyware removal applications that aren't free are Spy Sweeper, Ad-aware SE, PestPatrol, BPS SpyWare, Aluria's SpyWare Eliminator, and many more that others can recommend.
Of course, Protowall, PeerGuardian, Bluetack's Blocklist Manager (BLM) are also free and well-known IP Blockers.
The web pages and sites that you visit may not display in the best appearance, but you will generally be safer from attacks.
I can recommend many more types of softwares and modes of protection in the future.
For now, I think the current list is a good start. Other members can contribute as they please. Hang in there. I'm certain that the intelligent members here can further help you out. Later.