My advice is to get a router. It doesn't matter if you have a need for multiple hard lines or wireless, they have built-in firewalls and you will never have to worry about being susceptible to worms like Sasser.
Of course this isn't free but it is the best and safest thing to do IMO.
Kerio Personal Firewall is quite good. I've used ZoneAlarm in the past, but I like Kerio equally as much (maybe a little more).
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