Damn, I love this software. Zone Alarm was probably the first application I downloaded off the internet.
If you have DSL or a cable modem, your IP address is permanent. Although this has benefits, it also carries the serious shortcoming of rendering your PC vulnerable to attacks as the longer your on the net without a change in IP Address (the little number that identifies your PC to the internet) The better chance, a nasty little hacker has to track you down.
A firewall, in this respect, becomes not just desirable but a necessity. ZoneAlarm is a top choice, and best of all, the basic version is free.
You can block uninitiated and unwanted traffic, even while your PC is unattended or while you're not using your connection. You can also limit your exposure to attack by specifying which applications can access the Internet. The program also lets you stop e-mail-borne Visual Basic Script worms.
Zone Alarm comes highly recommended.