I would recommend a router, you can can easily block ports manually that you are aware of being unprotected. As far as software firewalls go directly installed on Pc's I've only had experience with ZoneAlarm and it seemed to be quite good. Also if you have SP2 installed it will help alot but I wouldn't recommend SP2 because alot of software isn't yet compatible with it.
Click here for a list of software that does not currently work with MS SP2 
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