Well it depends on your system greatly, but i use sygate for my firewall, works well never had a problem with it. On the other hand lots of people seem to like zonealaram. In my opinion they're both a good software firewall, if you can get a router go for it.

Here are the links for sygate and zonealaram
http://soho.sygate.com/free/default.php and http://www.zonelabs.com/store/content/home.jsp