MrBabis, their are quite a few free firewalls available. Look at

http://www.sygate.com
http://www.zonelabs.com
http://www.kerio.com

for three right off the top of my head. Sygate is my choice, but ZoneAlarm is good and both are pretty much preconfigured, so they don't need much tweaking. Kerio 2.1.5 is a great firewall but takes a little (not much) knowledge in the beginning.