It's always good to download another third-party firewall (many good ones have been discussed on this forum already) because the built-in firewall works well for INCOMING protection, but does not do OUTGOING protection. A third-party firewall would help prevent third-party programs from accessing the internet and other computers in case you get infected.
Try comodo firewall, or zone alarm free. Be sure to make sure that you install the "FREE" versions, without any add-ons, or search around the forum or Google for other suggestions.