There are lots of good, free firewalls. What phishphreek80 said is the best way to go. We have a home network routed through an old 486 running Slackware Linux and a firewall.

Free firewalls are Kerio, Sygate, ZoneAlarm, Look and Stop Lite, Agnitum Outpost, and probably others, besides Tiny Personal (which I thought offered a free version). Go to http://www.webattack.com/freeware/freeware.htm They're all there. Personally, if I were looking again, I would go with Sygate as being the simplest. In reality, read phishphreek's comments and if you can do it, go that way. It's the safest route.