Savage is right Zone Alarm is a very good firewall.  I have the Pro version but it doesn't seem any better than the free version.  I also run Blackice on the same machine.  Blackice tends to give a little more info about port, finger print, etc. scans.  I have never had any conflicts running them both on the same unit.  Although I have never tried it I have heard good things about Tiny and it is free for personal use.