TC, have a look at
ZoneAlarm from CheckPoint Systems (formerly Zone Labs). I've been using it for years now and never really had any problems with it. It won't stop absolutely everything as I have managed to get a few trojans n stuff, but I got those thru MSN (grrrr!).
Alternatively, if you have a router, it may actually have a built-in hardware/software firewall, and if you Google it then I'm sure you would find sufficient information to be able to configure that (which IMO, would be a more secure way).
However, DO NOT think that using MORE THAN ONE firewall will be better ... it won't! In fact, if anything, using multiple firewalls can cause more problems than it prevents
HTH,
Pete