I run the free Zone Alarm firewall and I have no problems or patches.
Windows Media Player Update Fails Spyware Infection Test
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Nearly two months after promising to update its media player software to block the threat of malware infection, Microsoft Corp. on Tuesday admitted that users of its Windows Media Player 9 Series remain at risk.
More at the link
EWeek also has this:
I use Outpost free firewall (a gem of a product), AVG Anti Virus (another gem) and do daily spyware scans with 3 scanners after a good surf. I'm running Win XP SP1 by the way and haven't had a lick of trouble.
I'm using Zone Alarm too and am pleased with it. Up until this week I've only had the free version, but right now I'm trying out their subscriber version to see if I want to pay for it.
Two times I've tried to add the SP2 patch for Windows, but both times it will get well into the operation and then send up an error message with the dreaded red X that says, "Access denied." Then it undoes the process until things are restored. I have absolutely no freaking idea what access is denied. Typical of Microsoft to give you way less information than you need.
We have Mozilla and I may start using it more, but if I can stick with IE and not run into any really major risks I'd prefer that. Maybe I'm naive about that though.