We have been evaluating the Fortinet firewall products for some of our customers. They also do a software client version which has AV, firewall and web-filter features built-in. I've been running a copy on this Windows XP laptop for almost two months and works great. It also works for Win Server 2003.
You can download a 30-day trial version from us here:
(be warned - its an 18.8Mb zipped file!)
http://www.gravityinternet.net/download/FortiClient
If you do decide to give it a go, I recommend that you remove/uninstall any other firewall and AV product from your Windows computer first or they will conflict.
cheers,
Tem.