I currently use Spybot and Avast, which is free. I'm not personally familiar with AVG but I know a lot of people use it successfully.
1.
Avast runs continually while your computer is on. You can see the icon spinning in your system tray, so you now you are protected. If something tries to attack your computer, an alarm goes off and it stops your computer from visiting that page (if it is indeed a page). I also use it manually to run through every file on my computer once per week to make sure nothing was missed. It's so very easy to use
avast! Free Antivirus - Download Software for Virus Protection
2.
Spybot is used manually (I believe). I don't think it's a program that runs continually. It's great for finding spyware, which tracks your web surfing habits and stores cookies on your computer and could possibly create some horrific issues. I think it's a great secondary tool.
The home of Spybot-S&D!
3.
Get an external hard drive This is a device that you plug into your computer. It goes through all of your files and saves EVERYTHING from your computer onto an outside source. So, if in fact you got a virus and lost everything, you still have everything on the external hard drive which can then be reuploaded onto any computer. There is a cost involved, but it's a great backup if something should happen.
I'm sure you will get lots of great advice, but I think this is a good start.