Instead of getting firewall software, I would invest in a hardware firewall that is built into a cable modem router. You can buy these at any electronics home center (Best/Worst Buy, Curcuit S**tty, etc) and they are farily inexpensive. I have a Linksys Wireless router and for me it works great, although I have heard complaints about Linksys compared to D-Link.

Anyway, for $100 you can have a hardware firewall, a router so you can connect multiple computers to your cable modem, and a wireless access point. here's one that is 802.11g (fast wireless) and inexpensive.