This one I didnt type I've used it and tested with no problem unless they where of my own doing so I recomend you stick to the text.

I had some requests to explain everything about firewalls.
Well, I can’t explain EVERYTHIG, because it will take too many time, but I’ll try to review some main functions.
Why does firewall is needed?
Firewall is a software, which prevents unauthorised access to your computer due security leaks or just open ports in your systems. In other words it stops “hacking”
Remember: firewall does not find any viruses, - this is done using AntiVirus software.
There are over 65 000 ports in your computer (do not know exact number, if really need, use google )
Let’s take a look at the picture below:

The example shows some ports and firewal monitoring them. 80 port is used by http service, (your web browsing). – we can see, that firewall rules are set to accept all for incoming and outgoing traffic. – so you can freely browse interetn, and send information to web servers…
Now what happens if we set deny all to port 1214? – it’s the port iMesh uses for connection, isn’t it? – well simple, - firewall will reject all traffic, and iMesh won’t connect…
I must say that there are many functions, not only traffic rejection and accept, firewall is using.
For example many firewalls automatically monitors connections and searches for many kinds of hacking, e.g. buffer overflow, or many tries to hack a system password…
You can ban some IP’s in firewall rules, - in this case users from those IP’s will be automatically rejected…

Now lets overview some Firewall software:
Windows XP native – have some problems with LAN (Local Area Network) – if local area network NIC is firewalled, no users will be able to connect to your computer.
Tiny personal firewall – the one I use – very nice, uses little of resources… Problem is that is not free for now. 4.0 version was the best.
Outpost firewall – very powerful firewall, - I suggest using for advanced users.

So my rank is 5 to WinXP native
8 to outpost
10 to Tiny personal firewall.

If you are sharing Internet over LAN (use router), then you can use no firewall at all, because most of nowadays made routers have built in firewalls.
If you are using Linux or Cisco router, forget about hacking

And at last – if you’re PARANOIC, then you can buy hardware CISCO firewall for about 5000$ - 10000$ which is invulnerabe even to SATAN and SAINT algorythms…