Well, the main danger about such "security tools" is the "secure feeling", leading to overcompensation.
Some people think that just because they have an antivirus and a firewall, they can click on every EXE they find, even the ones they receive via email. That is WRONG. The problem is that this happens subconsciously - some people just feel much more secure and stop thinking about the ever present danger because that Norton face pops up every time they boot their computer.
If that effect weren't there, a personal firewall maybe still wouldn't help - but it wouldn't do any harm either. But this effect of overcompensation is just too real...
Oh, and another problem with personal firewalls... people tend to COMPLETELY DISABLE THEM when there is any kind of problem. If you can afford to disable your firewall, that means you obviously don't need it at all. OTOH, more than once a minute, everyone receives a data packet that tries to infect unpatched Windows systems. So if the firewall is all you do for security, you are screwed when you disable it for just one minute.
SPEAKING OF PATCHES. Windows users, keep your Windows current with Windows Update ->
http://windowsupdate.microsoft.com. Same goes for Mac and Linux users - use the online update feature you have. Even Microsoft sometimes fixes a severe security hole (the one Blaster used was for example fixed a month before Blaster started spreading, so Blaster's "popularity" was a proof of how few people use the update feature), and the online update is the only way to get these fixes early enough.
Do not be afraid of Microsoft detecting that you are using a warez copy of Windows. They don't care. They won't give you service pack 2 and additional features, though, but you can still access the most important updates. Don't be afraid - they won't track you down and take your computer. Actually, warez is the main reason of WIndows' quasi monopoly position, and Microsoft knows that. If you aren't a company, MS doesn't care if you use warez or not, they just don't want you to use a
competing OS...
1. Open Notepad
2. Paste: ÿþMSMSMS
3. Save
4. Open the file in Notepad again
You can vary the number of "MS", so you can clearly see it's MS which is causing it.