Main differences are quite simple if you visit their site >
http://www.eset.co.uk/Home/Compare/Windows
ESET NOD32 provides the same level of protection to Smart Security with minor differences, depending on user requirements.
Anti-Theft is new to ESET SS v7.
Prey Anti-Theft is a free, open-source alternative >
http://preyproject.com (Pro versions are available). Recommended for laptops and tablets, and / or if you travel with devices.
Firewall
If you use Windows Vista, 7 or higher, then you should be able to use Windows Firewall with your AV, and if you're interested you can configure it. Look for a guide called Windows Firewall with Advanced Security, or there may be a guide somewhere here.
Anti-Spam
Not required if you only use web-mail (ie. gmail.com, outlook.com etc) -
am I correct?
Parental Control >
http://www.eset.com/us/parental/
Blocks unwanted internet content, (ie. adult, gambling, irc etc)
http://kb.eset.com/esetkb/index?page=content&id=SOLN2799