Welcome to the forum Will,
As far as firewalls go, software firewalls will never compare to hardware, and the first and most important thing I can recommend is to purchase and install a
router and use the built-in firewall security that modern routers come with. That will, in essence make your computer "invisible" to the rest of the internet as all the outside world can see is the router itself, and not your computer. This is much more secure than any
Software installed firewall you can buy.
I would also recommend disabling the built in Windows Firewall that comes with XP (once you're behind a router). It typically causes more problems than it blocks.
If you do decide to go with a router, check out Best Buy, CompUSA, Frye's, and I would definitely go with a
Linksys. Stay away from D-Link as they are not as reliable and easy to set up. You can pick up a decent (even wireless) Linksys router for around $60 (U.S.)
If you do decide to go with a software firewall, there are any number of companies out there who will tell you that they are the best. I personally wouldn't trust any of them as I do this for a living. Maybe some of our members can give you some better advice. And I'm always up for new ideas and suggestions.
Good luck Will, and let us know how it works out...