This is a bit beyond the scope of this column. The software is included in most major Linux distributions. For a single user running Windows, buying a wholly separate machine just for security is a big expense. Although using a separate computer as your firewall is the most secure way to go, there are alternatives. Some companies have come out with software packages known as personal firewalls.
False positives can sometimes be a problem, but it's always better to be safe than sorry.
The McAfee Personal Firewall is a pretty slick system. It lets you filter both inbound and outbound traffic, and can both log and show you all traffic and alerts in real time. The documentation, while useful, is a bit lacking. To be fair to McAfee, though, network security is a huge subject, and it does a pretty good job of at least stepping you through the basics. Watching a properly configured machine running Personal Firewall can be very educational.