Before installing personal firewall software on a Windows computer, be sure that the firewall built into Windows is turned off. Never use two software firewalls at the same time. Completely uninstall one before installing another. Use the vendor's uninstalled utility or if not available, use the Windows add/remove software tool in the control panel. After you install a firewall, be sure to check it with a service like the Security Space Desktop Audit to make sure that it is configured correctly. Testing your firewall is the only sure way to tell that your computer is really being protected.
After years of installing Internet security products on our home network, this is the best way that we have come up with to do it. Frankly, the first time that you go through this is a pain in the neck. It's like going to the dentist, it's not fun but it is good for you. If you are not ready for the full meal deal yet, take a look at our Secure Windows page.
The result is a cleaner, faster and more secure computer system. Thereafter, maintaining the system is much easier. You should do it about once per year. Spend a week or two getting ready a little bit at a time. Set aside a whole day for the actual work.