Sygate Personal firewall works well for me to. and as a bonus it is free for the basic package.
also if you are running windows XP you can turn on The Internet Connection Firewall.
go to Start/connecto/show all connections
Right click on your NIC . Click third Tab that says advanced.
before you turn this on, make sure you click "learn more about Internet Connection Firewall" so you understand what is going to do.
It also has a nice explination as to what a Firewall is what it can and cant do for you.
I would suggest anyone that has a question about firewalls read through it, there is good info in there.
also if you are using a router cooneted to your DSL/Cable, there is a good chance there is a basic one included with it, but i wouldn't rely on that alone.
good luck... If you really want to learn about firewalls. Pick a search engine and type in "Firewall"... you will find reading materials for the next few decades...