Online Armor Free will walk you through the set-up. OA is pretty simple to set-up. After set-up is completed dig into the GUI to get as comfortable as you want. OA Free is an excellent choice it will serve you well. OA Free now has auto-updates, which is a plus.
I found PF to be fairly simple to set-up. Either way you have to dig around the GUI to find out what each has to offer. I found OA Free to do the job just fine. It's the flash player thing that got me, so I switched to PF and found I prefer Private Firewall. The downside of PF is everytime there is an update the user has to uninstall and re-install and export/import settings. But the user also has the option to "not" update. Do some research then decide which firewall is best suited for you.
Don't be afraid to try them all. You can always uninstall the one(s) you don't like.