Always, always, always setup WPA/WPA2 security on the WiFi router.
From there you can use Windows Firewall (if Vista), Comodo Firewall or a couple of others.
Comodo:
http://www.personalfirewall.comodo.com/
Anti-spyware only deals with places you visit and content you download.
Usually if you set the Router to non-DMZ (aka have security enabled) and forward ports as needed you will be pretty secure.
http://portforward.com/ Site for Forwarding Ports.
Hardware firewall >>>>> Software Firewall.