I use Kerio .
http://www.kerio.com/kpf_home.html
Kerio Personal Firewall (KPF) is a software agent that builds a barrier between your personal
computer and the Internet. KPF is designed to protect your PC against attacks from both the
Internet, and other computers in the local network.
KPF controls all data flow in both directions from the Internet to your computer and vice
versa, and it can block all attempted communication allowing only what you choose to permit. This makes KPF an ideal solution for notebook computers that freely travel in and out of the corporate network, facing exposure to various risks as they connect from different locations.
Kerio Personal Firewall protects againstinformation theft, modification or destruction
Trojan horse applications spyware
unauthorized access from within the local network
denial of service attacks to applications or services
Available FREE for home use.
For Windows 98, Me, NT, 2000 and XP.
NOTE: Windows 95 is no longer supported due to the termination of its support by its producer.