I have used AVG free for the last 5y without any issue on different version of windows from XP to 7. Now I'm testing Microsoft Security Essential which is fully free.
I'm using the integrated firewall of windows but I'm always behind a router which is also providing a firewall solution.
I'm in the IT business for more than 15y, and I can say it's a mess when it's about security.
So many tools for firewall, malware, virus, etc ...
The rule i trust is to keep it simple.
A router/firewall is a must and you have to disable all ports by default. Even with an antivirus don't go on internet without a firewall. Integrated firewall is the minimum.
I experienced many times newly installed computer getting contaminated after 15 min.
IMO full integrated solutions are most of the time heavy and will require powerful computer to run them smoothly.
After saying that, it's always better to have too much security than not enough but the first thing to do is to be careful what you're downloading and from where.