Firewalls

When you connect to the Internet, your computer becomes part of a world-wide network, and in the same way you can connect to other computers, they can connect to you. A firewall is a small program that can intercept and block incoming connections, and can also warn you about outgoing connections.
A growing trend in malware is using compromised computers to send out spam, or attack other computers on the Internet. With a correctly configured firewall, you can minimise the damage done if you do get infected (a firewall can stop them sending commands your computer, and could warn you about unexpected connections to other computers.)

You only need to have 1 firewall running on your computer. Running more than one will only make things more complicated without providing you any more protection.

Microsoft Windows XP (with Service Pack 2) already comes with a firewall (look for 'Windows Firewall' in your Control Panel) but earlier versions of Microsoft Windows will need a third-party firewall.

Useful links

ZoneAlarm - free firewall product, with a paid-for upgrade option
McAfee Personal Firewall Plus - not free, but has automatic updates for continued protection.