If you use Windows and want to use an excellent free firewall, try Comodo. It is totally free, and the firewall claims to be leak-free. I have been frustrated at times with ZoneAlarm, which I have used off and on for a few years (free version). It is slow to load and I don’t entirely trust the configuration I have to put it in to use my home network’s file sharing. Also with ZoneAlarm, the snappiness of my Internet connection seems to suffer, especially on my slower PC. I haven’t noticed as much of a performance hit from Comodo.
A while back, I used to use Kerio Personal Firewall, until they pulled the plug on the free version. Now, I have been using Comodo for over a week and I am very happy with this program. I did have a little trouble understanding how to set up trusted areas for my home network, but once I figured it out, it made sense. You only have to put in an IP address that you trust (or a range of addresses). For example, entering 192.168.1.101 (or whatever the local IP is of the another computer you are accessing) gives you free-flowing access to share files back and forth on your network to that machine. Be sure to set it on both computers if you install Comodo on each of them.
The Windows Firewall, which is included in XP SP2, only protects your inbound traffic. While that is the largest threat, you are technically safer using a two-way firewall. You shouldn’t have to spend money for that. Thanks to Comodo, you don’t have to. And you don’t have to put up with ZoneAlarm. That’s music to my ears.