It may be an exaggeration but PC Tools Firewall Plus 3.0.0.36 is probably one of the best, most effective, most secure and complete free firewalls you can find. You have dozens of advanced rules so you can totally configure it to your needs and personalize it to your tastes.
Thus you can specify which determined applications can access the Internet and which can enter your PC, configure ports, apply diverse security levels as you need, control the continuing web activity, deny specific connections, etc.
GoldTach Personal Firewall 3.3 ( 2007-07-20 ) Practical and simple personal firewall to stop your PC being attacked by malignant software from the Internet.
ZoneAlarm Firewall Free 7.1.78 (W.Vista) ( 2007-07-19 ) One of the few firewalls compatible with Windows Vista. Very easy to configure for your Internet security.