The role of a firewall is to sit between your PC and the internet and only let in traffic that you've requested, eg. when you download a webpage. There are both software firewalls that reside on your PC or hardware firewalls that sit on your ADSL/Modem Router or other machine (which could also be a dedicated PC running firewall applications).

We always recommend hardware firewalls. A software firewall resides on your PC and which means an intruder has got to your PC, even though the firewall may deny them access. Whereas a well configured hardware router will conceal the network behind it and so an intruder doesn't know your PC is connected to the internet.

Software firewalls

If you don't have access to a hardware type firewall and you are connected to the internet (especially on broadband), you need a software firewall program installed on your PC. Zone Alarm is one of the most widely used software firewalls and seems to be effective: http://www.zonelabs.com

ZoneAlarm has released Internet Security Suite 6.0 which integrates firewall, antivirus, antispam and now antispyware features. See: http://reviews.zdnet.co.uk/software/internet/0,39024165,39210471,00.htm

WindowsXP has an integrated software firewall which has an annoying habit of telling you your firewall is off, even when it's on. It seems to occur when you open connections (make exceptions) that it thinks should be firewalled. http://support.microsoft.com/default.aspx?scid=kb;en-us;320855 . As previously stated, it is safer to get a hardware firewall.

Hardware firewalls

If you are on broadband (or thinking about getting it) we recommend you buy a ADSL/Modem Router with an integral firewall. There are a number of these on the market and generally they provide the additional advantage of sharing your broadband connection across a number of PC's and networking them. There are a number of decent ADSL/Modem Routers available but we tend to stick with what we know; consquently we recommend the Draytek Vigor 2600 series, which we use for ourselves and our clients. See: Equipment

If you are running a large network, a dedicated firewall(s) may be preferable.