re: 3rd party firewalls
The only possible reason I could think of for running a 3rd party inbound/outbound firewall is if you were interested in seeing what your apps were quietly getting up to internet-wise. Most will be checking for and fetching updates. But some programs will also try to do quite a bit more 'behind your back' than you'd expect.
If you're suspicious or concerned about any of that, you'll need something that monitors and reports on
both directions. Otherwise, stick with Microsoft's built-in firewall. When used in conjunction with NAT, and the hardware firewall that's found in most home gateway routers, it will provide more than sufficient security for general use.
I used to use
Comodo. It's a very capable firewall. And
Avira - an excellent AV. And...
Nowadays I can't be bothered, so I just do the Win7+MSE+HW Router combo - plus a few browser add-ons (NoScript/Adblock+/BetterPrivacy) -
and some common sense I'm when out on the web or reading email.
After that, I call it a day.
I'll also use a few additional on-demand antimalware scanners if I'm particularly worried about something. But that's pretty rare.
So far (knock wood) I seem to be every bit as secure as I ever was without all the extra 3rd-party baggage bogging down my machines.
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Note: if you're a heavy-duty "ru" TLD
pr0n hound, or you like to cruise the
warez and bootleg media sites, you
might need something a little more industrial grade. But for the rest of us, Windows + hardware router will do it.