In general, security issues at home, small office. and entry level systems involve:
1. Unauthorized Internet traffic coming in (from the Internet to your computer).
2. Unauthorized Information going out (from your Hard Drive to some one else Web Server), AKA software calling home.
3. Accidental leakage.  Firewall left disable, computer left in DMZ etc.
Unauthorized Information going out is mainly a function of  ?spyware? and programs that are ?calling home?. Unfortunately, the amount of programs that are calling home is growing by the day.
The Hardware Firewall provided by most Cable/DSL Routers, is an excellent tool. However, it mainly secures the Incoming traffic,
 to secure the Outgoing aspect you need to add Software firewall. 
Thus, many Router owners use the combination of Hardware, Software Firewall.
A popular software firewall  is ZoneAlarm (Basic version free).  
 
ZoneAlarm Download.
Norton Internet security provides very good live control on info going out (Not free).
Norton Personal Firewall 2002.
You can check your system's security by logging to the following page, scroll down, and click on 
Shields Up.
Gibson Default Page.
Gibson Default Page.
*************************
Since at times I have to disable the Firewall (some Internet site will not function correctly with Firewall filters On), or I have to put one computer in the DMZ, I take a third measure of security, by installing NetBEUI. (Yeah! Yeah!  I know NetBEUI is archaic, and not supported by Microsoft any more, but it still supports me very well).
NetBEUI is not Routable to the Internet, thus local network traffic can not go out.
My experience (on variety of small network settings) shows that Surfing the Internet is smoother if the main network traffic is done via NetBEUI, and TCP/IP is reserved to Internet activities only.
*******************************
A different approach is to skip all of the above.  You can put one old computer (the one that is in the back of the closet) with two NICs, and dedicate it to be a Firewall Router. You have to install one of the variants of Linux (many are free) as your Main protection.
This is also known as ?The Linux Box?. It worth while to do it if you really want to have a nice learning project, or if being ?cool? is more important then connivance.
Want to know more about the idea log here:
 Firewall and Proxy Server HOWTO.
Installing a Firewall does NOT solve the "security" problem.
******************
Instructions to find and install NetBEUI on WinXP are here:
Where is NETBEUI in WinXP?
After Install NetBEUI appears in the list of available protocol, there in no properties for NetBEUI since there is nothing to configure.
Make NetBEUI Default, and the sharing protocol in WinXP.
Right-click on the:
"My Network Places? on the desktop to display the ?Network Properties"
In the Network Properties Window, pull the Advance Menu, and click on advanced settings.
Choose the Adapters, and Bindings tab.
Hi-lite  Local Area Connection.
The lower part of the windows shows you the available Share and Protocol.
NetBEUI has to be in first position in both settings, to be Default Protocol.
You make it first by Hi-lite NetBEUI, and move it up using the Arrow on the right side.
Uncheck the TCP/IP binding form Sharing.
It should look like this:
Advance Settings Win XP.
The trick is to bind TCP/IP only as a Client to Microsoft Networks, and to bind the File, and Printer Sharing only to NetBEUI. 
Doing so decrease the probability of your files been world wide available through the Internet.
At times when my 8 year old grandson wants to use my Network to play, I thought him how to check the TCP/IP in the above menu (of course he is very reliable, and will uncheck it when he is done).