I do not wish to sound alarmist any computer on the Internet today is in a dangerous environment hence a firewall is a necessity. In general there are three common types of firewall Windows XP firewall built into each copy of the operating system, Zone lab's popular ZoneAlarm firewall and a typical home Internet sharing device (router) firewall. These are free I will not mention the ones you can purchase they are not in keeping with open source. For details, check these pages:
Testing your firewall
Several websites allow you to test the security of your PC for free. They run a series of software probes against the Internet address that you provide them (Whats My Address).
If you pass their tests, you can be confident you are protected against the many freely available 'scanning' software used to scan systems for security holes. This type of software can and do scan hundreds of systems for security holes in a matter of minutes. As soon as you connect your PC to the Internet, expect it to receive several hundred scans like in a short space of time.
With your PC protected by a firewall, now would be a good time to test its effectiveness.
The following websites will conduct a vulnerability scan of your system, checking to see if it is visible on the Internet and if there are any unguarded avenues of attack. Take time to read and follow the directions listed.
With a correctly set-up firewall as shown in the above pages you should have no problems passing these tests:
Caution: Never let an unknown or known source download a programme to test your computer for security issues. Think about the consequences of doing this! You have just allowed them to breach your security if you had any.
Note: I have retained Symantec only to show how Draconian it is. It wants IE and ActiveX enabled! Well I use Firefox and disable ActiveX shame that it cannot perform its tests.
This excellent little utility provides you with a graphical, realtime view of all active connections on your system.
Where to next
Check out the firewall pages