Zone Alarm from Zone Labs is a easy to use and setup Windows firewall. Whenever a program is launched that requires the use of an internet connection, a popup box will ask you if you wish to allow that program to have access. You can set this to ask whenever that program is used again or always remember the setting so you wont be prompted.

There are various versions of ZoneAlarm. The commercial versions have more features but the basic free Zone Alarm firewall should be sufficient for most home users.

ZoneAlarm free edition can be found at ZoneAlarm's website in the home/home office section.