Fact: a personal firewall prevents viruses and hackers from accessing your PC and sending your documents and passwords to people who will rob you electronically.

VACM tests indicate that ZoneAlarm (free & paid version) are much more effective than the lackluster firewall that is built into Windows.

From ZoneAlarm:

ZoneAlarm is designed to protect your DSL- or cable-connected PC from hackers.

This program includes four interlocking security services: a firewall, an application control, an Internet lock, and Zones.

The firewall controls the door to your computer and allows only traffic you understand and initiate.

The Internet lock blocks Internet traffic while your computer is unattended or while you're not using the Internet, and it can be activated automatically with your computer's screensaver or after a set period of inactivity.

Zones monitor all activity on your computer and alert you when a new application attempts to access the Internet.

CNET Review of ZoneAlarm:    

An effective and easy-to-use firewall program, ZoneAlarm does a great job of keeping your PC safe from a variety of threats. ZoneAlarm uses a simple wizard to make configuring a firewall, which seems like a daunting task to many computer users, incredibly easy.

Maintaining and updating settings also is a snap when you're using the stylish interface and its simple slider controls. The program's Zones feature allows you to assign different security levels for a local network and for the Internet.

A great recent addition is small but quite helpful. A new "Game Mode" lets you automatically allow or deny alerts when you're in the middle of playing a video game. We found ZoneAlarm very good at recognizing and automatically including settings for our local network.

In all our tests, the firewall guarded against all external and internal threats it encountered. ZoneAlarm is an excellent firewall choice for just about any average user.  [source: CNET Review at Download.com]

VACM recommendations:
Your PC needs the protection of a firewall. Any version of ZoneAlarm (free or paid versions) will protect your system far more than the weak Windows firewall.  And just to review, the 3 things you need to protect yourself from viruses, identity theft and Windows corruption are:

the best AntiVirus, AntiSpyware and Firewall.  All of these items can be had as free versions.  What are you waiting for?