I suggest using the following parts for a firewalling concept:
- work & surf as a normal user (not as an administrator)
- use trustworthy software (don't use the internet explorer for surfing the internet & OE for reading e-mail)
- keep your system & software up-to-date
- backup your data (your system) periodically
- don't offer services you don't need
These are the main points.
- if you are unsure about software and files you got, use a virusscanner
- you may also block unwanted traffic with a spam filter (in combination with a virus scanner) for mail & with a adware blocker for web traffic (privoxy, proxomitron or adblock+ f.e.) & a packet filter like the xp firewall or ipfw (BSD, windows 2k) or netfilter.org (iptables)
A good think is to separate these parts from the working machine to a purpose-built "Bastion Host" (gateway, "hardware" firewall,...)
- you'll inspect your system with some tools from sysinternals.com (only for windows) and your network traffic with the help of sniffers (wireshark, former known as ethereal) and/or intrusion detection systems like snort.
The precise configuration depends on what you're doing and what you want.
HTH Are some points missing? Wolfgang