There are two free firewall programs that work quite well. Check out Sygate and Zone Alarm.

I've used both at one time or another and liked Sygate best. I now use one tha my internet provide supplies.

The suggestion on using a router is a good one. It saves a lot of hits that would come through to the computer. When mine isn't in line I see a lot of scans occurring. The discussions in GRC Discusssions Online make interesting reading.

Good luck.

Jim