I’m going to be building my new Vista PC this weekend. The parts are in the mail as week speak. My question is what to install before I connect to the internet, security wise. Free is a plus. I’m thinking  AVG Anti-Virus Free Edition, Spybot, SpywareBlaster, and ZoneAlarm. Is there anything else you would recommend?

As long as you're connecting through a router, there really shouldn't be a problem connecting immediately.  When I get a new system running, one of the first things I do is go online and download AVG and install it.  The short time it takes to get anti virus software downloaded and installed coupled with a hardware firewall really won't raise a security concern.  For longterm use, you'll want spyware protection of course.  AVG also has a free rootkit remover that could be useful to run every once in a while.  But it really sounds like you're covered.
 
I stick to the window's firewall personally, and I only run AVG anti-spyware when I want to do a scan, but I like to keep my program load as light as possible.  Haven't had a security issue since the blaster worm years ago.

I dont know that its nessisary, but I always make sure that I have AV loaded before I establish a network connection.  Had too many installs go south cuz I jumped right online and caught something straight away.  
 
Also, depending upon how old your XP install disk is, you might want to DL the standalone installer for SP2.  Its the other thing I always have installed before connecting to the net.

Install the noscript addon to Firefox.

I think stapleton87 really nailed it when he said you'd be fine initially if you were behind a router of some sort. After that I'd run Windows Update (or whatever Vista calls it) and get that out of the way immediately. Then AVG would be a good bet. I'm convinced that Windows updates, AVG and the free Windows firewall are enough to keep any reasonably computer literate person safe and secure. However, if you're the type that likes to install every free application you stumble across and think that having a million screensavers is your god given right... well, perhaps you need a more robust plan.  

^Agreed.

 
lol

Firefox and its noscript addon have saved me 100 times more than any firewall.

I must be a little more paranoid than most. I load os and install AVG and Zonealarm. Then I go online and update AVG and download the Windows updates.
 
Most inexpensive routes depend on Network Address Translation (NAT) for their firewall functions. NAT provides concealment more than active protection. And the greatest shortcoming of the WinXP firewall is that it does not block outgoing traffic.
 
Frequently, the first indication of malware is when it tries to phone home. A properly configured firewall will give an alert when a program tries to dial out.

Window's Firewall does give an alert when programs try to dial out. It happens every time I install a new program. I always wonder why I can't play online until I alt-tab and see Window's Firewall telling me that the game I just installed is attempting to connect to the internet.

XP? Originally didn't. Must have fixed it SP1 or 2. I have been using ZoneAlarm since 2003.