zone alarm seems to work good and is easy to use.
the problem with windows and explorer and outlook and word is that viruses/trojans get in easy because people can't seem to stop using MS programs and MS doesn't care.
so firewalls are needed because if you have a trojan then someone can break in easy.
on windows you can't just stop running deamons or easily get a list of open ports or running deamons like you can on Linux.
windows sucks, just go get linux and be happy
on linux you just don't run any deamons you dont need and then no worry
I run both but mostly linux for important stuff, no crashes, no restart when you turn off/on a deamon, no get out your CD so we can see if you paid for the OS crap, its great, I talk from experience here.