ZoneAlarm is probably the best free firewall you can get. It's loaded with features and settings. You can protect your connection, your email and be avised of any viruses. ZoneAlarm also constantly informs you of inbound and outbound connections, and you decide if you accept them or not.

At first I thought I would keep ZoneAlarm on my PC, but I decided to uninstall for a couple of reasons. First of all it seems to hog CPU usage and dramatically slowed down my PC, especially at start up. Then, I realized that it had totally blocked my internet connection. I also quickly lost my patience with the never ending pop ups to inform me of inbound or outbound connections.

I'd only ever install it again if I really, really, really worry about my security. For now, the Microsoft Firewall will do.