Honestly you shouldn't need a 3rd party firewall. The one built in windows is more than enough for most users, especially if you have a router (which is common nowadays).
The main difficulty is to properly set it up. The default settings is allow all outbound (meaning all applications that you use can connect without any check). For proper security you'll have to use a deny all on outbound connections, and create exceptions via rules in the advanced settings : you need a few core networking services, plus windows update and windows time, and then all your internet applications. The UI can be a bit daunting for normal users, and the firewall doesn't give very good notifications when blocking, it does so silently so you'll have to enable logging at the beginning at least, but it is VERY powerful.
But you might ask, why are there 3rd party firewalls if the windows one is so good ?
Well apart from the interface and overall behavior (no popup when blocking) which is I thinks its main fault, when you install malware (meaning you as a user intentionally gave it the administrators right to change your system) it can relatively easily add its own rules to the firewall or even turn it off and then bypass it. 3rd party add protection against that , and when coupled with hips (usually included in all those security suites) it can analyse hostile behavior but then again once a malicious program has been installed even those are poor protection and/or they are very heavy on resource .
With windows firewall, to counter possible malicious tampering, you have to regularly check if the firewall is on (don't rely on notifications, since they can be disabled too I think) and also your rules to see if anything odd has been added or even restrict some of your allowed programs (by specifying an IP/port for example), coupled with a detailed log check if you are really worried. 3rd party automatizes all of this with pop-ups (way too many to my taste).
Anyway just google for tutorials on advanced windows firewall (ex:
Windows Firewall or
Windows Firewall with Advanced Security (Guide for Vista) - Wilders Security Forums) and you should be good.If that's not enough for you, you can always try TinyWall (
Features of TinyWall), which is built on top of the windows firewall and just provides a better user experience and some protection against settings/rules tampering, it's free so nothing to lose by trying it.