Download Private Firewall if you use XP/Vista/Windows 7 or
OUTPOST or COMODO Firewall or PC Tools For XP & Vista (Both come with Antivirus installer).. I prefer Comodo
Filseclab This one is also a pretty good Personal Firewall but, for Win98/Me/NT/2000 or XP. You will need these missing DLLS to run Filseclab Firewall, extract unto c: drive then go to c:\dll and double click the file missing.bat right after you install Filseclab firewall. then reboot.
TCPView Great Freeware, will show real time remote connection to your PC. Will display their IP address and local and remote ports and program in use. You can close any and connection. Works Great!