Hoover Pilot, I am no expert on these things and so what I offer here is no more than my experience to date.
The ZoneAlarm Firewall (Free) IMHO does the job very well and if you have checked the box on the Alerts menu to log alerts to a text file then you have a record too, rather than keep on getting the popup alert which after a while is a pain.
I too used to worry about who was hacking little old me in the big www. But it is probably nothing more than a random scanner sweeping past you and thousands of others.
It is I believe still illegal though!
However if you are still interested in who, then Neotrace is a great program to use (including world maps) and here is how to look up a 'Whois'.
Place IP address into Neotrace address box (including all points) and trace.
On the List menu place your cursor over the final node (ie.the one you are tracing) and right click to get a sub menu.
Then left click on Whois details... and the registration details of this IP address if known on this register is displayed.
Hope this was of some help.
Can I go and sleep now?