What do you need to protect your computer?

Security programs ensure your safety but if not used properly they may do damage to your computer.

The basics:
You may use only ONE of the following at the same time:
Antivirus
Antispyware
Firewall 
HIPS/Behavior blocker (If your firewall comes with HIPS then you are set. You cannot use a behavior blocker unless you have a firewall such as Windows Firewall or equivalent without other protection modules.)

Just because you pack on security doesn't mean you are safer. Keep that in mind. You can always get infected no matter what prevention measures you take.

Antivirus are an important defense method against malware. You can only use ONE antivirus at the same time. Running two antiviruses can cause system instability, crashes, slowness and insecurity. You may actually be less secure with more than one antivirus. You also cannot install two antivirus and then disable one to use it as an on demand scanner. The disabled antivirus will still have certain components running that will interfere with the other antivirus. It is also important to keep your antivirus updated. If your antivirus says it is not updated, you have a problem.

Antispywares are iffy. You can run ONE antispyware along with your antivirus in realtime but considering all good antivirus have implemented antispyware it is truly unnecessary to use a realtime antispyware. They will only slow down your system. Now, do not confuse this with free on demand antispyware programs. Malwarebytes and SUPERAntiSpyware are great scanners and will not interfere with any realtime programs. Keep in mind that you can only run ONE on demand scan at a time.

Firewalls/HIPS programs are some of the most proactive programs when protecting your computer. You can only run ONE firewall and ONE HIPS on your computer at the same time. Firewalls only control network access and therefore the backbone of the program is the HIPS. If you disable your HIPS then you might as well use windows firewall because you just have doubled your chance of getting infected. You also cannot disable your HIPS and install a behavior blocker. There can be conflicts with the services of the two programs and again you might as well use windows firewall in that case. If you don't like HIPS uninstall the firewall program, revert to windows firewall and install a behavior blocker. Note that not everything that HIPS detects is malware. HIPS will pick up legit things as well as malicious things. Make sure you know what you are clicking when you click allow and block because you could be blocking a system process and you will run into trouble.

Behavior blockers are similar to HIPS and will replace HIPS and your firewall program. With a behavior blocker you can revert to a passive firewall that comes without HIPS or you can use Windows Firewall. 

Internet security suites come with firewalls and at least some form of behavior blocker. If you are using an internet security suite do not install an additional firewall, HIPS or BB. A good addition to a suite is a sandbox like Sandboxie. In the future suites will start to include sandboxes and like everything else, you cannot run two sandboxes. KIS is currently the only released suite with a sandbox. Avast and Comodo are soon to follow.