You don't need to invest in a third-party firewall - get the free ZoneAlarm package.
ZoneAlarm is more than just a firewall as it checks all incoming and outgoing traffic to ensure that your PC is only doing things that you want it to.
For example, a lot of software will "dial home" at some point to check for updates, but it may also record information about you or your PC without your knowledge.
ZoneAlarm stops this happening by asking you about each access request to the network (both internet and local networks) so you can check that programs work as you want.
It also makes sure that (possibly) malicious incoming traffic is also screened, giving the affect that your PC isn't actually there - like a "cloaking device" if you will!
It's not a big piece of software to download and generally acknowledged as the best out there. It is a pain (or tedious) to start with because you'll get a request for each program that accesses the net, but once you've either given it or denied it permission, it remembers the setting and uses that from that point on. It's also amazing how much stuff "dials home".
http://www.ZoneLabs.com/ You'll also want to turn off the incoming alert notification, as that will drive you crazy too!