ZoneAlarm is not a free fw software, but it is good, and one IMPORTANT thing: ALWAYS use at least 2 firewalls! why? if one of them is exploitable to one thing, the other one is certainly not, because those have been written by different folks, so if the attacker passes the first firewall he wont pass the another one (hopefully)

also important thing is to BE CAREFUL with your browsers! they are in 99% of attacks, the thing being exploited, because you will always give the permission to your web browser to the internet, right?

so, final conclusion is: 2 firewalls + hijackthis
(hijackthis is a software to clean up start up sections of windows, and to clean the browser off of those spyware, malware, adware, etc..)
try Tiny Personal Firewall (if you can find it cause it has upgraded to the commercial version)