The first thing to do before you download and install ANY software is to see what security software you have already.
If you are running Windows XP or Vista then open the Windows Control Panel, then open the security centre.
It should look a bit like this (will vary depending on your version of Windows).
http://screenshots.leeindy.com/SecurityCenter/ security_center.gif
Now write down EXACTLY what security software it says you have installed, Firewall, Anti Virus and any other products.
When you have done that let me know.