CISCO routers come with kicka## firewalls, a little pricey though if you want cheap Dlink has some pretty neat Routers that include VPN, and a firewall. But still if thats to much money you could always run a Diskless firewall with NetBSD, or FreeBSD you need at least 128MB of ram to do this though but if you have an old computer laying around this would be a good and cheao option http://FreeBSD.or I wouldn't recomend OpenBSD because they barely support any hardware.