I prefer "external" firewall. Linksys or Netgear DLS/Cable router (NO wireless!) is a good start. After you can explore some Linux firewall, but it will cost you a another computer and at least 2 NIC.

I'm a huge fan of the SANS reading room (http://www.sans.org/rr). You can find there information on lot of topic and it is a good start. After that, google is the way to go ;-)