Sorry for the delay.
I don't use PC-cillin myself, but everything I read about it is very good. We even direct users to the Trendmicro web site to do online scans for viruses so it is well respected.
The newer versions combine a firewall, antivirus program and anti-spyware program, and other features and many people prefer the all-in-one type of program. If you are the type of person who likes that, then I reckon you are well protected.
Just make sure you keep the virus and spyware databases up to date, and, if you can afford it, keep he program up to date when newer versions come out.
I hadn't heard of Zero Spyware, but as the name suggests, it only protects against spyware. I checked the SpwareWarrior website, (this site lists scam spyware programs), and Zero spyware "is" listed, but the note about it, here says that the new version released in September 2004 has resolved certain issues, and so SpywareWarrior no longer needs to list it as a problem case.
So if you have the newer version, it seems it is ok.
Also, it is always good to have different programs for anti-spyware. Spyware takes different forms, and no individual program can find all the different types. So as long as you keep Zero Spyware's definitions up to date, again I reckon you will be well covered.
Good luck,
Mark