Of all the software firewalls I've tried (ZA, Norton, McAfee, BlackICE), I recommend Tiny Personal Firewall. It's hard to use/configure if you don't anything about IP addresses, protocols, sockets, etc. but it gives you full control. The status window tells you what application is accessing the net to what IP address, on what port, etc. It even allows you to remotely control it. ZA is also a good option if you want something easy to use and don't what to mess around the options with TPF.