Once you get Internet Explorer up and running (IE 6 SP1), you can hit Tools - Windows updates and it will tell you what service packs and critical updates you need to install, and you click Install and off it goes. If it's on a dial-up connection it's going to be SLOW. In my opinion, no one should be using dial-up anymore.
Windows XP has a firewall option in the network settings, but when XP SP2 comes out later this year, it will be the full blown firewall with internet security.
ISP's like NetZero are going to install crap on your PC. The best protection would probably be the following:
1. In 2000 or XP, keep Automatic updates ON and set it to install immediately. Do a Windows Update yourself before doing this to get all the latest criticals and SP's.
2. Norton Anti-Virus (with active subscription for updates!). Symantec and TrendMicro are good, too. Your choice.
3. Norton Internet Security (firewall) - for DSL or cable. I recommend a router that will allow you to shut down the ports on your own. There's also a utility on the net that will allow you to hide your IP so people won't be port scanning you left and right. On a dial-up connection you really don't need a firewall unless you plan on staying connected a LOT, the the connection is usually to slow for a hacker to want to even bother.
4. Ad-Aware (full version that you buy so it runs active)
5. Spy-Bot (don't use Immunize, just update and scan once and a while. I've seen immunize do things from block anti-virus updates to crashing a PC on reboot - it locks the registry from changes or something).
6. Retail pop-up blocker (optional)
If anyone needs a tech, I'm available for fixing stuff - and it's free if you've already worked on my car!