The Windows XP firewall gives many people a false sense of security.The XP firewall does not block information going out of your PC. The bottom line: Your computer could be infected, sending out information or being used by some hacker without you even knowing about it. Any of the following free firewalls will let you know what is attempting to go out. But, please pay attention to what is going on. If you just start clicking allow, you could be allowing something bad. If you do not know what something is, use Google to search for it before allowing it.

Comodo
Comodo Firewall helps you to understand what is going on by analyzing each alert and providing you an intuitive, easily understandable Security Considerations section with each question it asks.

Kerio Personal Firewall
Kerio is a great little firewall and the Personal Edition is absolutely FREE for home and personal use.

Zone Alarm
Zone Alarm is another solid firewall that comes in FREE flavor.

Sygate Personal Firewall
Sygate Personal Firewall is free for personal/home use, serial number and registration code are not required to register the program. Symantec purchased them, so it is hard to say how long this will be available.

Servers

SmoothWall Express Firewall
SmoothWall Express converts an Intel/AMD computer into a dedicated firewall and gateway allowing computers protected Internet access.

Clark Connect
ClarkConnect is a software package that transforms standard PC hardware into a dedicated Internet firewall, gateway and easy-to-use server. There are various levels of FREE and paid for services. These include a stateful firewall, anti-spam protection, antivirus protection, content filtering, managed VPN, intrusion prevention, and more.

IPCop
IPCop Firewall is a Linux firewall distribution geared towards home and SOHO (Small Office/Home Office) users. The IPCop interface is very user-friendly and task-based. IPCop offers the critical functionality of an expensive network appliance using stock, or even obsolete, hardware and OpenSource Software.