Useful, and Essential Applications - These are the programs I use on a regular basis. Mostly FREE too, so get your mouse clicking that SAVE AS button :)

... Hey look everyone, I eventually made the hyperlinks I been promising for past year or 2! ;)

Winamp What you doing still using that 'media player' junk, check out Winamp, simply the best music/video player for your computer, I've used this for, oh, probably around 7 years :)
Winzip Anyone remember PKZIP/PKUNZIP? If you do, you been here a while, Basically, this is a file compression/decompression tool, many of the files you download online are already compressed using this :)
Norton AV Do I trust anything else? Sure, I get people saying 'x' program is better, but then I invariably come across someone's machine using the 'x' software, and still having viruses, so... Yes, some catch more than others, Norton is a good all round virus scanner. Recent version do seem to effect computer speed!
AVG Free Antivirus Once upon a time I'd have not used this, I found it was very poor at detecting viruses, today however, it's better, it's changed.. I'd still say Norton was *the best*, but AVG has to be a very close second, and probably My preference :) Does not seem to effect computer speed to any noticeable extent, Recommended!
Spybot S&D Spyware has been around a good few years now, and a complete pain, see for info on these as that's the site that first brought it to My attention, many years ago. Latest problem is browser hijacking, every ended up at a page that you didn't expect? possibly your browser has been hijacked. Anyway, this tool will help get rid of the problem :)
Nero - Burning Rom Good all round solution to backing up data/music/video, or making your own bootable discs.