Firstly, check your MTU settings on your router if you're experiencing this. It may sound like a strange thing to ask, but some ISPs are using some shonky MTU settings.
Secondly - I would *NOT* recommend using a third party firewall under Windows unless you absolutely understand what you're doing and need to use it for a specific purpose.
A mis-configured firewall is worse than not having a firewall in many cases.
The Windows built-in firewalls, from XP Service Pack 2 onwards, are recommended instead. This is because 3rd party firewalls generally don't "understand" the inner workings of Windows and your network to any great degree, and are prone to ask you (in a split second) whether you want to block something or not.....and if you've not been paying attention and you block a service that's crucial to the smooth operation of Windows, then your system will crawl to a halt whilst waiting for timeouts (and it's likely to be pretty damn slow already from having to run that third party firewall in the loop in the first place).
Seriously, a whole HOST of "problems" could be solved by junking all these "internet security" all-in-one antivirus & firewall packages, and going with a free (for personal use) AV product such as AVG or Avast, and the Windows Firewall.
Cheers,
Mike.