If you're considering a free firewall, why not use the firewall that comes with Vista. From what I've read, Microsoft really enhanced it and it's now a stateful host-based firewall that supports filtering for both inbound and outbound traffic (as oppose to Windows XP SP2 FW) plus some extra features, awesome!
Enhancements in the new Windows Firewall
The new Windows Firewall in Windows Vista and Windows Server 2008 has the following enhancements over the current Windows Firewall in Windows XP SP2 and Windows Server 2003 SP1:
• Supports filtering for both incoming and outgoing traffic
• New Microsoft Management Console (MMC) snap-in for graphical user interface (GUI) configuration
• Firewall filtering and Internet Protocol security (IPsec) protection settings are integrated
• Rules (exceptions) can be configured for Active Directory® directory service accounts and groups, source and destination IP addresses, IP protocol number, source and destination Transmission Control Protocol (TCP) and User Datagram Protocol (UDP) ports, all or multiple TCP or UDP ports, specific types of interfaces, Internet Control Message Protocol (ICMP) and ICMP for IPv6 (ICMPv6) traffic by Type and Code, and for services.
Check the following link for more info:
http://www.microsoft.com/technet/community/columns/cableguy/cg0106.mspx
Tutorials : Need guidance 
