Spybot doesn't kill anything. It finds stuff and you do the "killing". If you don't know what something is don't kill it until you find out what you are killing.
What is wrong with the firewall that comes with XP? That is an easy one.
The XP firewall completely ignores outgoing traffic. That should be enough to make you nervous.
ZA is good but the more recent versions are suffering from program bloat. Version 4.5 is good enough without the bloat.
AVG from Grissoft is a good free anti-virus.
I would recommend a router even if you have only one computer. Change the default password and setup encryption.