"I thought a hardware firewall would be stuff from cisco or Nokia. Dedicated hardware that can run nothing else."
Hmmm, I would tend to agree. However , I don't want to be picky but you can use Nokia's for anything (mail servers, routers, IDS, web servers, etc and of course firewalls)
Watchguard, pix, raptor, netscreen, nokia, etc are considered hardware firewalls.
Checkpoint, ipchains, etc are considered software firewalls.
However as you can see the waters are muddied somewhat as checkpoint can run on nokia, and watchguards are basically a gui frontend for ipchains.
All the above are considered enterprise firewalls, debatable with watchguards, tho'.

If I could figure out how to get DAIP working on CheckPoint, I would use that at home. But at the moment I use IPCop (www.ipcop.org).
Handles dynamically allocated IP's for cable and dsl. And supports a single DMZ with NAT.
Again this is based on ipchains.

In the workplace I would recommend CheckPoint on Nokia or Cisco PIX.
Steer clear of running any firewall on a windows machine.