All firewalls do the same job well.
PC-cillin costs a few bob, Xp's in-built firewall only blocks in coming traffic so you'll have no idea of what may be leaking out information. Zonealarm is free and is a popular choice.
On a dial-up connection, a firewall isn't really needed as those with static IP addresses (Broadband) but it is useful to keep track of outbound traffic.
Zonealarm will suffice.