Zone Alarm is a great software solution. Actually, the builtin firewall for XP isn't bad.
I recommend going hardware, maybe a linksys router with builtin firewall. For security, you can't beat hardware firewalls.... just CHANGE THE ADMIN PASSWORD! You wouldn't believe the number of people who leave the default set!
I had problems with Zone Alarm, and now have Norton. My system and software like it much better!
Norton blocks the Sub Seven Trojan horse at least 5 times a day. Scary! It shows the exact IP address of the inturder, then brings up a map of their location.....sometimes in the states, sometimes Korea, Germany and everywhere. One in the U.S. was from a University in the south.