Hi Katylar,
Yes, definitely turn on Vista's firewall - but, that only works for inbound traffic and is not particularly easy to set for outbound access denial. ZoneAlarm Free is the best bet for that. You do want to deny outbound access if you should ever be compromised.
The only caveat against two or more AV is do not run them at the same time -i.e. it is ok to have more than one free AV (AVG, Avast!) - just make sure your firewall is activated on boot up if you are 24/7 connected to the Internet over a high-speed connection rather than dialup.
SpywareBlaster is recommended as not only is it free, but it provides passive protection - so, no performance hit.
You also might want to consider having a HOSTS file - see:
http://www.mvps.org/winhelp2002/hosts.htm
The very best AS is SpySweeper by Webroot which is paid, but the next best thing is Spybot S&D which you already have. SpySweeper has run-time processes that are separate from its AS scan which I found very helpful when I was running WinXP Pro SP2.
-- Tom