Firewalls
Basic firewall protection is critical for securing your PC. Simple firewalls (like the default Windows firewall) limit outsider access to your system and personal information, and silently protect you from inbound threats.
Earlier versions of Window's Firewall were reported as lacking but they seem to have improved it to the point of being dependable. But saying that there are third-party programs available which are totally dedicated to the task of 'firewalling' your PC and therefore tend to provide a stronger defence.
Microsoft Note: Caution: Only one software firewall should be enabled at a time. If you have an antivirus or other security program installed with its own firewall make sure it is disabled first.
Note: Microsoft Windows 7 come pre-installed with a firewall utility, although it may be disabled by default (see important note below)
In Microsoft's own words regarding Firewalls:
Warning
You should not turn off Windows Firewall unless you have another firewall enabled. Turning off Windows Firewall might make your computer (and your network, if you have one) more vulnerable to damage from worms or hackers.
In addition to a firewall, you also need an antivirus and anti-malware program to help protect your computer. Install Microsoft Security Essentials or another antivirus and anti-malware program, and keep it up to date. Many of these programs update automatically.