Thoroughly recommend Black Ice PC Protection from a company called Internet Security Systems -
http://www.iss.net/ Used to be just a plain old firewall but now enhanced with application protection. Regular updates and all for around USD$40 for a years support & service. Certainly picks up pretty much every attempted break-in and with little overhead on an ADSL connection. Seems to work OK hand-in hand with Norton AntiVirus. You can also tailor 'permitted' ports if you're a music download, chatter or Internet radio freak like me !!
I think you can still download a 30 day trial version.