Anything you fix with Hijackthis can be restored. You are only removing the registry entries that load that program at startup. So if you check something you decide later that you want to load up you can simply restore that entry with Hijackthis.
AVG and Zone Alarm are both quality applications and, provided you keep them both updated, will provide you with very good protection.
I highly recommend Spyware Blaster. Knowing what I know now about the Internet I wouldn't get online without it.