A firewall is a hardware or software solution that enforce security policies. In this general concept, a firewall is equivalent to a door lock on a perimeter door, or on a door to a room of the building. It permits only authorized users such as those with a key or access card to enter. A firewall has built-in filters that will disallow unauthorized or potentially dangerous material from entering the system. It also logs attempted intrusions.
Its important, so too, with computers to have a Firewall, and that it is active. Before I provide you with my recommendations for the best software solutions, be advised that if you follow my advice to update your system at Microsoft, you will find you get a free firewall with Service Pack 2. If you want to implement, go to Start, then Control Panel, where you will find the Windows Firewall icon. If you chose to use it, double click and make sure it is active. If you would like something with more features take a look at the ones I have reviewed below:
PC Security Shield combines an excellent Firewall with Antivirus protection.The Shield Personal Firewall is an innovative hacker security software application that guarantees the user's safety on the Internet. With an easy-to-understand user interface and preset security levels, the user does not require any knowledge of the software to begin protecting themselves from hackers and data thieves. The program will monitor all of the incoming or outgoing connections, warn the user, and ban any unauthorized connections. Users can connect to, or disconnect from the network with one simple click; securing the data within their systems even more. At less than $30.00 it's a good value. For more information on this Firewall Click Here 
ZoneAlarm Pro delivers powerful, multi-layered security to your PC with advanced firewall, anti-spyware, identity theft protection, privacy protection, and other functions. Its comprehensive, easy-to-use features can enhance basic firewall or antivirus programs, and are perfect for anyone concerned about online privacy. At $39.95 you receive alot of protection. A stripped-down version is available free. Save $10 Download ZoneAlarm Security Suite 
Trend Micro™ PC-cillin™ Internet Security 2006 combines award-winning antivirus security and a personal firewall—for comprehensive protection against viruses, worms, Trojans, and hackers. It also detects and removes spyware -and- blocks spam. It even guards against identity theft by blocking phishing and pharming attacks. PC-cillin at $49.95 is a little more expensive but you get what you pay for. Don't leave your computer unprotected - Buy PC-cillin Internet Security 2007 today!
