The free version of Sygate works great. It's very important to have a software firewall used in conjunction with a hardware firewall. Once installed, viruses and spyware may attempt to send out information about your usage or personal information. A software based firewall such as Sygate will often catch these programs attempting to access the internet. As mentioned above, the Windows firewall only blocks what's coming in. Software can have security vulnerablities that can be exposed. By having a hardware based firewall (in addition to a software firewall), you have a second layer of protection.