I've you've got an extra computer hanging around somewheres, I'd give IPCop a shot. I've been using it for both my home network, and my servers, and it works great, even on old hardware, and has a lot of great things, Snort for IDS, squid, etc.

Other wise, I'm afraid I can't be much help, since it's been awhile since I've used Windows for a desktop. I have used Outpost firewall, and liked it, and there is both a "Free" and "Pro" version.

Good luck,
enmand