windows works well

You definitely need a firewall, try Zone Alarm Free, it works on both incoming and outgoing information.

Actually, you'll probably need more:

 

Concerning Ad-Aware, you didn't indicate whether you're (still) running the older program, Ad-Aware SE 1.06, or whether you've "upgraded" to the newer Ad-Aware 2007.   But in either case, assuming you're running the FREE versions of these, all you have there is an on-demand scanner, but not resident ( continually running in real-time) protection.   You should therefore obtain a resident anti- malware program (which is separate from, and complements, your resident anti- virus program)  --- and my suggestion, in terms of free programs, would be Windows Defender (assuming you have Windows XP Service Pack 2; or Windows Server 2003 with Service Pack 1 or Service Pack 2):

http://www.microsoft.com/downloads/details.aspx?FamilyID=435BFCE7-DA2B-4A6A-AFA4-F7F14E605A0D&displaylang=en

 

 

Above all, it's critical that you keep all your security programs updated.  

 

For example, AVG anti-virus generally provides daily updates (at least on weekdays), and hopefully, you've set the scheduler to automatically check for these each day.

 

Another point:   Windows critical/security updates are made available the 2nd Tuesday of each month, and should be installed as soon as possible.   If you've set-up AUTOMATIC updates, that's optimal; but if not, you can manually obtain them, in Internet Explorer, by clicking on TOOLS, and then WINDOWS UPDATE

1) when Boppo stated above, " windows works well", that was a reference to the included firewall, which is available on both Windows XP SP2, as well as Windows Vista.

 

2) The XP firewall works in only one direction... I believe it monitors INcoming traffic, but not OUTgoing traffic --- but I might have this backwards.   That's why Dale suggested above you opt for a separate software firewall that " works on both incoming and outgoing information".

[I don't know if the Vista firewall is unidirectional or bidirectional... I'm sure someone else will comment on this].

 

2) There are other factors to take into account:   for example, if you're running through a router, it likely offers a firewall of its own [hardware firewall, (basic) NAT firewall, or other "advanced" Network firewall].   If you have router/firewall protection, then even the Windows XP firewall should be sufficient for most purposes.