I agree with others that Zone Alaram (from Zone Labs) is the way to go.
However, be aware that their firewall sometimes conflicts with other
programs. Check their user forum and revision history for details. So, be
sure to have a full backup of your operating system partition, just in case
you need to retreat.
That said, I had excellent results with verison 4.5, then waited for 5.x to
mature, and just installed 5.5, which also works well on my PC (XP with
SP-2).
One note about ZA and other firewalls: By default they block almost
everything. Therefore, for the first several days expect to get popups
about program X is attempting to access the internet... If the popup occurs
just after you invoke a legitamate program, like IE6, say "yes, always". If
you do not recognize the program, say "no", but if immediately thereafter
something internet related does not happen that you wantred to occur, maybe
you should have said "yes".
I had a minor problem getting the Norton update to work. Eventually I
needed to add the Norton web server to a list of trusted servers. The ZA
forum area good place to go to learn how to solve access problems, if you
have any.
Finally, if you update a program that was granted internet access, the next
time you use it the firewall may ask again for permission, since it works on
the actual program (checksum), not just on the name, which a clever spyware
could fake.