I recommend you just get yourself an inexpensive router. If you don't forward any ports, it is, in essence, an airtight firewall in hardware. Software firewalls are still somewhat vulnerable to windows security issues.
What he said. For a long time, ZoneAlarm had the best firewall for protecting your computer against outgoing attacks (software 'phoning home' for instructions), but ZA has changed (hands) so much over the past few years that I have to say I don't know enough about it any more.
