Which operating system (and version)? Do you use a router? If so, what make and model? What type of connection? (eastlink sb5100?) Using the network or USB port on the surfboard? Got a spare PC?
Here's my approach to your question:
http://en.wikipedia.org/wiki/Comparison_of_firewallsFrom which I'd look at these:
http://www.tallemu.com/downloads.phphttp://free.agnitum.com/http://www.pctools.com/firewall/http://www.sunbeltsoftware.com/Home-Home-Office/Sunbelt-Personal-Firewall/I'd try Sunbelt's Kerio personal firewall first as I believe it is the most mature of those free alternatives to ZoneAlarm.
But myself, I just use the windows firewall, keep windows updated, and configure my router for minimal exposure of clients on the lan.
P.S. if you have a sb5100 or similar and it is in reach and you are doing some adventurous browsing - that suspend button works really well, stops
everything without having to yank a cord. A somewhat drastic measure, but if you are running no servers and are the only user on the lan, you can use it like a routine internet on/off button too, just wake it up when online and suspend it when not (or gone to work, or bed...), thus significantly reducing the possibility of your PC becoming a zombie.