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If I do do a reinstall, should I download the firewall to a CD 1st so I can install it prior to accessing the internet?
You can if you want to, or just make your first download the firewall from the official vendor site. Even just turning on the windows firewall (Start>control panel> network connections> right click connection choose properties> advanced) would protect you well enough to update, install, upgrade, and then install a decent 3rd party firewall(and then of course turning off the windows firewall).