I use BlackIce and found it easier than any of the others.
Regarding fobotcso's comment, go to the intruders tab and right click on the attack and you can block the offender as you require.
To test your system go to
http://grc.com/ and try, you will have to download a small (20kb) file to help them make sure they are checking your machine. They also have a program called 'Opt Out' which removes a lot of 'spy' programs from your system. Worth doing.