You asked Peterh whether AVG will run fine with ZoneAlarm and you stated that AVG has no controls for cookies, javascripts, and Active X.
The name of the game is defense in depth. Don't ask any one piece of software to do it all. Most AV modules will not control cookies, javascripts or Active X. You can control these in brute fashion by going into your browser be it IE or Mozilla or Opera and toggling how you want them handled. Some firewalls will do this also for you but generally you will have to dig into them. EZFirewall is a good example. Specifically, AVG 7.0, the paid subscription version, will alert you to viruses and run Outlook Express through a proxy to scan incoming emails for viruses, worms, etc. But, back to the subject "defense in depth."
If you are on a cable/dsl line, the best "firewall" is to install a router between your modem and your computer. Then, install your software firewall. ZoneAlarm is an excellent firewall, but given the number of pings you can get off of cable/dsl network from infected servers you can be driven to distraction constantly acknowledging the "Alert." A router just drops these before it ever hits the software firewall.
Antivirus packages that are free are what they are - anti-virus. AVG, Anti-vir, and Avast have proven themselves to be as reliable as the pay version. But, they won't protect you from spyware or "spycookies".
You can use PestPatrol and the subscription version of Ad-aware to actively intercept spyware. Most people seem to be content to use the free version of Ad-aware, Spybot Search and Destroy, HiJack this, BHODemon, and the list goes on to dig out spyware passively.
While you can control cookies from your browser, Cookie Pal and Cookie Crusher provide a level of sophistication to allow you to see what cookie is being proferred and whether you want to allow some or all of them. Neither of these products is freeware. There are some sites that will not let you on unless you permit their cookies, these will help you better to know the kind of cookie a site wishes to place on your machine rather than the message "Such and such a site wishes to put a cookie on your machine Yes/No."
Microsoft still loves its Active X. If you have Microsoft products, you will have to allow Active X modules to be put on your computer if you wish to "live update" things like Office. Most other non-IE browsers like Opera or the Gecko bunch don't use Active X though you can, in the Gecko bunch import an Active X component snap-in, which can leave you as susceptible as IE.
The browser you use will be another choice. IE has the largest usage so the greatest number of exploits are aimed at it. As Firefox grows in popularity, it will become more susceptible. And, no matter how good a browser is, even Opera, it still has to work under the Microsoft operating system and use its inbuilt components, which are subject to attack.
Download managers are also sometimes risky. Some have spyware built into them. If you use them, see if they will work with your Anti-virus protection to scan the software as it is downloading. Remember though that a downloaded file may not be virus laden, but it can contain spyware.
Use a variety of pieces of software for the task for which they were designed. There is no "all in one" system that does everything. You can stonewall a computer pretty well, but you can't protect it from yourself if you are going to play with peer-to-peer downloading or risky adult-rated and gambling pages. Know the risk you are taking if you want to use your computer this way, however don't trust that you will go unscathed through these sites just because you have a lot of good software to protect you.
