Thanks for posting after stumbling on us a while back.
The post just recommended to you by estriches is a good start, but what do you need the firewall to do? Is this just for learning, does it serve a business purpose, etc. Some of the basic firewall capabilities of your router may be good enough for your needs. But if you have a specific reason for the firewall, that may dictate what to look for.
Also, when it comes down to it, all firewalls are software. Some come as appliances with chips that do the hard work. But when all is said and done, they are all software whether it is on the hard drive or a chip.
That being said, if you have an old computer laying around, you could actually build one yourself using open source software such as SmoothWall
. Very small and very easy to setup.
Hope this helps,