It used to be you needed a firewall to keep the script kiddies from invading your pc. These guys were mostly just trying to see what you had on your pc, but now some of them are real hackers that are malicious and steal confidential information or delete files you need. If you have a cable or DSL connection that is always on, you really need a firewall. Some people say you don't need a firewall if you are on dialup, but that is very bad advice. A third party firewall can alert you if spyware is trying to call out. If you access the Internet, you need a firewall!
There are free firewalls available, but some firewalls that used to be free have now been made 'paid' versions.
A highly recommended firewall is Comodo and best of all it is free! Comodo has other security programs as well as the firewall.
The Home PC Firewall Guide This is a great site that explains why you need a firewall. It also has a lot of information about other security issues. They also have a free newsletter.
Firewall FAQs Microsoft
Webroot has a firewall as well as one of the best spyware scanners.
More information about stuff that spies on you, CEXX.org
You can check your security on your computer by going to Steve Gibson's site. He can locate any security holes and explain what you need to do to fix.
How Stuff Works has a good page on how to secure your home network. How to secure your home network. If you have a broadband Internet Connection such as DSL or Cable, chances are you have a modem/router with a built-in Firewall. That's great, but only if you change the default password for the modem/router. You need to make sure your network isn't wide open to anyone!
There a number of different brands for modem/routers, check with
your ISP on how to set up the username and password as many use
admin for the user name and don't even have a password.