Well, I personally use Zone Alarm and haven't had any trouble with it, but if you want the Cadillac of personal software firewalls, go get Black ICE Defender.
Should run about 30-40 bucks at any software shop, demos are available if you wanna try it out.
From my tinkering with it, Black ICE is about the most user friendly and easy to setup software firewall out there.
Xayd
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