Go get zone alarm, free, and one of the best.
http://www.zonealarm.com/
And if you are connected to the net 24/7, and go away from you're pc, a firewall will(read:should) prevent remote access (read:trojan files, bots, zombies, etc) to net usage. People tend to use the programs when they attack servers and flood them, or do other permiscuous things for which they don't wanna take the blame but actually wanna do.