...while NOD32 is the most advanced heuristic scanner I'm aware of, it does not come with a firewall. The consensus seems to be that the Windows Defender firewall needs to be supplemented with a true configurable two-way firewall. I would complete that suite with a Netcraft toolbar or McAfee Site Advisor (both available as free downloads) and a cross-domain scripting blocker. I'm not aware of a cross-domain scripting blocker being available with any of the all-in-one security suites, however, it is important protection against attacks from legitemate but hacked websites.
More on NOD32. It's written in assembly language, so it performs fast scans and is light on your system's resources. It's heuristic scan recognizes attack behavior and blocks it regardless of whether or not the attack is on a list of known attacks. When an attack is blocked, the NOD32 server is contacted with the data from the attack. The NOD32 server compiles data from similar attacks into an attack profile that is then used to update the list of known attacks. The updates occur within hours of an attack incident. NOD32 has been very highly rated in reviews on several security websites. Check it out.