I had used Online Armour, Outpost (free) and PCTools with success.
I long time ago I worked with Comodo. But it brought me too much trouble.
Well I just want to mention that my issue arose from Vista. Somehow these firewalls were not 100% recognized because I was detectable on the network. As I recall you are using XP right?
I'm with Windows one right now and waiting for avast firewall soon.
I am waiting as well but I'm not to thrilled about paying for it but at some point it had to happen.
Till then I'm using Vista's firewall in combination with Vista Firewall Controller recommended by YoKenny. So far it has done a good job.