Well, I am no expert here. But I have used a lot of different firewalls and the one which I liked the best was SUNBELT KERIO PERSONAL FIREWALL.

I use this as it is fully compatible with Windows XP (can't say about vista). Does a good job of not only monitoring the ongoiing network activity but also stops unwanted autoruns which often come with a virus from a friend's USB or CD.

Works as a charm, is light on system and also acts as a bandwidth monitor. SO I can know which program is takuing up my precious bandwidth in downloading an unwanted automatic update which I like to do afterwards. I am not sure if it will work with vista or not. It is better to go to their site and check.