If you are using XP it has a built in firewall.
Free firewalls are available from click here or click here or click here
"If you're looking for the free Kerio Firewall or a replacement for the Sygate firewall, you have found the right page. Just like the original, the Sunbelt Kerio Personal Firewall will keep working after the first 30 days, but in basic mode."
Personally I like Outpost, found it easy to use and did buy it after using the free version for some years.