Another great firewall app for those running Microsoft operating systems is Tiny Firewall, from Tiny Software.
www.tinysoftware.com
Up through Version 2.0, the Personal Firewall is free.
Their latest version, which I believe is 3.0, now requires purchase. But you can download a fully functional thirty day trial.
It's a really solid personal firewall and I think better then all the rest that are out there.