There's no real guarantee of security. I'll cover some issues and ideas, both on how to do this, and where you need to be careful about.
I notice you've missed out whether you're running the system as admin or a regular user. I could live with a system without persistant AV or Firewall as a regular user, since it would be much harder to compromise such a system (windows vista and 7 do this by default anyway with UAC. A user who can't elevate himself is even better though).
It'd also depend on your overall setup - you could offload firewall (and even AV) duties to a firewall.
Running a system like this, you need to be aware of why you are doing this, what your threat profile is, and what your risk factors are.
Most people running a stripped down system do this in an attempt to improve system performance - are you actually bottlenecked? Does 'Ricing' out your system by stripping out AV and Firewall actually make a difference? Could you, alternately simply use a lighter AV or set it to a more frugal setting while gaming? If you need to turn off AV, shell and firewall for decent performance, you might do well to consider upgrading your system, or switching your OS to windows xp or maybe 7.
Persistant AV and Firewalls don't just clean your system, they delete things as they come in - to the point where my AV kept deleting elcar test files i was making as i saved them. Its a much better solution than on demand scans. Sometimes its better to have a shield, thana sword.
Could you restrict yourself to only steam servers at your firewall? Can you lock down your system effectively? Do you have the tools and skills in place to find and deal with a system compromise?
In short, its a bad idea unless you know exactly what you're doing. There's very little that suggests turning off things like explorer to run just steam does any good. If you must set up one regular user account that way, and run a admin account with AV and firewall.