Internet sucuirty to use with AVG anti-virus software?

I have the latest AVG anti-virus software and an very happy with it. My setup includes a router for IP distribution, and a separate ADSL "modem" enroute to the internet. I use CC Cleaner regularly to eliminate cookies, etc.My question is what else should I be doing to prevent Spybots, Trojan Horses and the like that come from the internet? My AVG has an e-mail scan, but I'm not sure if that is preventative in avoiding some of the nasties that some folks seem to get.Should I be looking for additional internet security software, and if so, any suggestions? Thanks- Bruce.