The Importance of Firewall Protection

While connected to the internet your computer is always susceptible to hacking or other Internet threats. 
A firewall examines all traffic between your computer and the Internet 
to ensure it meets certain criteria that you define. 
A firewall performs two main functions:
Prevents unauthorized access to your computer by outside resources
Prevents programs on your program from contacting outside resources
 without your permission. 

If you are using Windows XP, you already has a firewall provided with it.

Free firewall tools that can be downloaded from the Internet include:
Zone alarm, Keiro, Sygate,...etc.