Use anything you like and it will be an improvement on Pcguard.
Personally on XP I use Kerio PFW 2.1.5 and Free AVG.
Works for me.
I must add, I recently bought a vista notebook that has a trial of McAfee Security Suite pre-installed. I have heard a lot of negatives about McAfee but I must say that running it with all it's bells and whistles enabled it does not appear to slow the notebook and so far has given no problems whatsoever.