I think it was squiddley who put me onto this little gem in a previous, extremely informative post - belated thanks btw Squidders.
I have tried quite a few of the supposed firewall programs that have been touted and at the risk of being well and truly dudded at some future date I will give ZoneAlarm a huge thumbs up, from my experience with it.
For the minor inconvenience of having to "authorise" all your legitimate traffic during the early days of setting it up, you end up with a docile little doberman that sits quietly in the background, albeit with a lot of barking if the number of hits my machine takes from net burglars is anything to go by.
I hope not to be disappointed again like I was with Lockdown 2000 but I am quietly confident that this program is exceptionally good at what it does and there is even a 2.1 Beta version available now that may even be better.
In short - spend the money and get it NOW - after all, it IS free !!!!