oOoMalware Security Configuration

Check that you have Service Pack 3 installed for Windows XP.

You can download SP3 from the Service Pack Center or through Windows Updates.

I would also recommend using a third-party firewall.
 
Additional Real Time Protection:
ThreatFire 4.1 [Behavior Blocker](Free) - link
ThreatFire continually protects your PC against attacks by detecting malicious behavior, such as capturing your keystrokes or stealing your data, instead of only looking for known threats like normal antivirus software. By implementing sophisticated real-time behavioral analysis ThreatFire is able to stop never- before-seen "zero-day" threats solely by detecting their malicious activity.

Additional on-demand scanner:
Hitman Pro (Trial) - link
An on-demand scanner using multiple anti-malware engines and cloud technology. It offers unlimited free scanning but once you use it to remove detected malware it switches to a 30-day trial version. I recommend using it after you've scanned your hard-drive with the other products you have installed.

Additional browser protection:
WOT (Free) - link
To help you avoid malicious sites you can use Web of Trust (WOT) a website rating browser plugin. After you add it to your browser make sure you only visit websites rated "Green" by WOT

VTzilla (Free) - link
VTzilla is a Mozilla Firefox browser plugin that simplifies the process of scanning Internet resources with VirusTotal. It allows you to download files directly with VirusTotal's web application prior to storing them in your PC. Moreover, it will not only scan files, but also URLs.
The scanning options are embedded in Firefox's context menu and download dialog, making the analysis process as easy as clicking a single button.
More Info

Additional browser plugins
Adblock Plus (Free) - link
Adblock is a content-filtering extension for Mozilla Firefox- and Mozilla Application Suite-based web browsers. Adblock allows users to prevent page elements, such as advertisements, from being downloaded and displayed.
 
Your security setup depends on how much hassle you are willing to put up with. If you take the advice of stormgtr and Jack then you are relatively well protected. However, you can still be infected under certain circumstances.

If you really want to protect yourself you can install a HIPS program. HIPS Explained

If you feel you're up to the challenge of using this type of program then two of the best, which are also free, are Comodo Firewall and Online Armor Firewall. Personally I like Comodo Firewall, but the choice is yours.

Hopefully you find the information I posted helpful.

Thank you.
 
I agree with the guys above. A third party firewall is the first thing I would consider. SuperAntiSpyware is also a good on demand scanner.

http://www.superantispyware.com/