As VHG points out, you need a full 'suite' of security products, comprising a firewall, an antivirus program and anti-malware software. However most people are satisfied by putting together separate (free) components to create the full package.
Windows has its own built-in firewall but it has its critics. Many people opt to replace it with either Zone Alarm Free or Comodo. (They're equally good. A firewall is actually a very simple bit of software, so its amazing that Microsoft can't get it right in the first place!).
AVG Free Edition is the most popular free antivirus program, but Avast! also has plenty of fans.
You should only ever have one active firewall, and one active anti-virus program, on your PC. (Otherwise system conflicts can occur). However you can have as many 'run on demand' anti-malware programs as you like. Ad-Aware Personal is the most popular but many people also use Spybot Search & Destroy, with Malwarebytes recently gaining a big following.
Computer magazines, and others, run tests comparing security software, which ought to help people to make their choices. However the results are never consistent, so that what scores 'top' in one test might only appear 'mid-table' in another. It's worth remembering that the people who produce the free programs aren't generally doing it out of the goodness of their hearts. They're hoping that you'll like their free software so much that you'll pay to buy some of their 'bells and whistles' programs. For that reason they'll always strive to ensure that their free programs really do the job, so they're often as good (or better) than commercial programs from other sources.
I'd be happy to use Zone Alarm + AVG + Ad-Aware (with Spybot S&D and Malwarebytes as back-ups) for internet banking.
Chris