Pretty much the standard for our windows boxes is Zone Alarm from Zone Labs, http://www.zonelabs.com
Nothing much else to say. Decently easy to set up, reliable, and only a little annoying sometimes when a pop-up window alerting you to firewall activity gets in the way of setting up a new online game for the kids. <grin> A few clicks to train the filters and the problem doesn't recur.
They sell all sorts of versions, but, if you look for it, you'll find the free version as well, which is all I've ever used.