The best firewall I used was Tiny Personal Firewall V2.
I didn't like version 3 I found it to cumbersome.
You should get "hijackthis" and use it to scan a known clean computer.
Then you can put all the found entry into an ignore list.
It should be empty after that.
Then next time you scan if you find a registry entry you will know it shouldn't be there unless you recently installed something.
Also get spybot
and spywareblaster
The three I mentioned are donationware and free to download.
http://merijn.org/
is where you can get the last three