I know you said that you wanted a firewall for Windows, but do you have an old computer lying around the house? Even an outdated PC will run Smoothwall. Its a firewall out of the box distro of linux that runs on any PC with two network cards. No linux knowledge is necassary to set it up. You'll probably have to buy an extra NIC, but the software is free. That way, you can take one more process off the computer you work with. If you still want a software firewall, I might re-reccomend what the last few people said about learning how to configure the Windows XP SP2 built-in firewall. It's not the most full-featured security app out there, but it will keep you protected from your average worm, port scan, etc.

-NeuTron