OK, as I voted for a combination, I should also explain a bit.
First off, I'm using Win98SE (with lots of official/unofficial/manual upgrades). In time, I've had a few light infections, mostly at the beginning of my Internet adventure.
Then, I got a good hang of the common sense, although still surfing dangerous places. But... at one point I stumbled into Ad-Aware, which started showing me the mistakes I've made and their results. After that, I also stumbled into Spyware Blaster.
Both of those tools - the latter preventing malware installation and the former cleaning up whatever managed to slip in - helped me keep my system sane.
Few years ago I also found HijackThis, who introduced me to the world of deeply buried registry keys; not much of a news, though, as I was already using Mike Lin's StartupCPL and Codestuff's Starter to check on autorun items - much better than msconfig, in my opinion. And talking about autorun, a few lines in autoexec.bat also help me keep the system clean and prevent any malware stored in Temporary Internet Files or Temp from running, at boot time or whenever:
CODE
@deltree /y c:\windows\cookies
@deltree /y c:\windows\history
@deltree /y c:\windows\tempor~1
@deltree /y c:\windows\temp
@md c:\windows\temp
Another tool I used to use quite often back then, was Trend Micro's Damage Cleanup Engine AKA sysclean. I still regularly update it together with the virus signature file, but I very rarely run it, lately.
Same goes for Ad-Aware - last working version for Win9x being 1.06R1 - and Spyware Blaster. Just because I haven't had an infection in years on my system (not counting a trojan found in a screensaver, while running Win2003Server last year).
My browser of choice is SlimBrowser, IE-based. Some useful features (auto-logins, batch start, etc) combined with popup blocker, in-page filters and many others has made me keep it as a must-have, for years.
No firewall and no real-time antivirus. I just don't need any, and it would only kill the scarce resources I have (Pentium II @ 400MHz, 256MB PC133 SDRAM, MSI GeForce4 Ti4200 running in Dual-View mode).
The best advice I can offer is: always know what's running on your machine. Regularly check startup items, services, run a rootkit revealer, look in the processes list (Task Manager or Codestuff Starter) for any unknown/suspect process and look it up on Google... Oh and never install ANY nicely offered free toolbar.
Be the master of your system - don't let it own you!