Chuck, I have sygate on my XP machine and it works just fine.

To justice: To keep your pc secure, just keep it updated with microsoft's security updates found at www.windowsupdate.com

As for Firewalls, heres a little comparison chart with basically every well-known firewall (Very detailed)

http://www.agnitum.com/php_scripts/compare2.php

Also, there is no best firewall, it just depends on what you need and dont want in a firewall.