Yezinki, I feel the same way, and the truth of the matter is that a poorly configured firewall can be almost as dangerous as no firewall at all..you will have a false sense of security.
I just use the Windows one. The Vista one is better than the XP one; it's a two way firewall, although difficult to configure, so default is best.
I find that Avast and the NoScript option in my browser (Firefox) works brilliantly to prevent malware.