I actually have two firewalls (Windows Defenders built in firewall and PeerGuardian2).
Windows Defender is the anti-spy program, you must mean you are using the built in Windows Firewall, that is fine then it just doesn't show on the HJT scans. If you have that one turned on then don't use another one. It can cause conflicts in programs, so I would remove that PeerGuardian.
There are several good, free anti-virus programs
Antivir is the one I use,
Avast is also good and many use
AVG 8