I used to use Firewalls and live or 'on-demand' Anti-virus programs but they always managed to muck something up and cause problems - no matter which ones I used. They were often memory hogs too.
I found a few proven tools that I like now. IMO using these are The Best protection you can have bar none.
1.) Sandboxie.
This program is better than any firewall because it is in effect it's own sealed off operating environment for your web browser. It run's your browser inside of the sandbox totally protected so nothing gets in to access your regular hard drive area that you don't want. It's like having a separate partition only for your browser.
You can run all other programs from inside a sandbox too, it's not just for your browser but browsing and secure downloading of files is what most people use it for.
When you download something you have the option (if you trust your download) to move the file out of the sandbox into a folder on your unprotected hard drive. Otherwise when you close Sandboxie, all your downloaded files ( and any virus's ) will easily get deleted. If you download a file you want to keep but are unsure of, you can then use a anti-virus program of your choice to scan the sandboxie folder and all it's contents (including your files) to make sure they are clean before you move them to your unprotected hard drive.
Unlike most firewalls Sandboxie is very easy to use, does not hog resources and has a great proven track record.
Check it out here.
http://www.sandboxie.com/ It's Free accept after 30 days you get a nag screen and 2 functions are disabled if you do not register it. Cost about 18 U.S dollars if you do want to register it but if you don't it will still always work.
2.) Rollback RX or Comodo Time Machine
Both these programs do the same thing. They replace your windows system restore with a super protected area in it's own partition underneath your windows partition to save your restore points in. No virus can access this but a virus can wipe out your regular windows system restore and leave you screwed. These programs work to get you back up and running in 5 minutes even if you cannot load windows and your whole C drive gets deleted.
They work great IF you use them. You must make periodic restore points for these programs to be effective in keeping your system up to date. Having a great tool on your system and not using it won't help you.
Rollback Rx has a trail period (cost around 30 bucks) but Comodo Time Machine is Free.
check them out here: Rollback RX
http://www.horizondatasys.com/169614.ihtml
Comodo Time machine:
http://www.comodo.com/home/data-storage-encryption/data-recovery.php
3.) If you ever do get a virus my picks are:
Malwarebytes and Emsisoft's Emergency Kit.
Between these two you have the best virus destroying power out there. You already know about Malwarebytes but Emsisoft's Emergency Kit is a whole free toolkit of anti-virus fighting software.
Emsisoft's Emergency Kit can be installed on your hard drive or you can mount it on a DVD or bootable USB stick so you can scan and clean your system even if you cannot run windows. The kit comes with 4 different tools to help diagnose and eradicate your malware.
Emsisoft's Emergency Kit is Free but the company offer paid for tools as well.
Check it out here:
http://www.emsisoft.com/en/software/eek/
4.) My pick for backing up your system is Macrium Reflect.
You may have heard of ghosting a hard drive or making a 'drive image'. This is a process that makes an exact clone of your hard drive and stores it on dvd's so you can use it to easily and quickly restore your whole system should you ever need to. Macrium Reflect is the easiest and fastest disk imaging tool I have ever used. It boast the best compression ratio so you use as few dvd's as possible. They have a paid for version with more features and a free version with all the basics most people need.
Paid for version:
http://www.macrium.com/
Free version:
http://www.macrium.com/reflectfree.asp
So you see with the above tools you can easily super protect your whole system - and do it for Free if you use only the free versions.
I use these tools because they are better than the standard ways of protecting your system and do not cause the problems associated with always having to run firewalls and anti-virus tools. I have found these to be the best solution for me and they cover all the bases of security and protection. Your experience may vary but I urge you to try these tools and see if they fit your needs.
All of these apps will work with Windows 7 64 bit.
Oh and to answer the OP's question - No, never trust windows built in firewall to protect you by itself. It is not very good and trusting it is just going to invite trouble.