maggioneato,
You may want to look into Zone Alarm as BRL suggested. Except for seeting up games I found it very easy to deal with. And it didn't take long to learn what programs I use. After that it does just sit next to the clock and look pretty.
Hardware routers are often just as easy as plugging the modem into the modem port and the computer into one of the other ports and plugging in the power. They are not quite as secure as a good software firewall, but if you are having trouble with the software it would be much better then nothing at all.
goates