I'be been pretty happy with the Zone Alarm Suite, which includes anti-virus, anti-spyware, pop-up blocker and a software firewall. It has a much smaller footprint than Norton, which means it's less of a resource hog. I've been running it for a few months and download regularly from Limewire, which means I'm in a relatively high-threat environment. It's caught a few things and as far as I know I'm virus/spyware free.
I haven't done tons of research, though, so there could be something out there that's even better.
I don't know about the proxy thing.