ZoneAlaram is a good program (the basic version's even free), but the trouble is you have to manually approve each program when it wants to have Internet access. A good security measure some might say, but it can be a right pain, especially if you play an online game or something that takes full screen - it'll mess it up!
I agree that hardware routers are much more secure. My router has a pretty solid firewall.
If you want to check out the stability of your firewall/computer etc., check out this site:
http://www.grc.com
There is a popular free tester on there called 'Shields UP'. Run it, and then run the 'Probe my Ports' test - it'll tell you what's going on with regards to your ports - whether they're open, closed, or stealth.
It's very useful when testing out the security of your configuration. (You don't need a router or any firewall, it will work on virtually any PC).