There is a free firewall called Comodo that many security orientated message boards agree with. It is said to be the only firewall that is leak proof. I use it on my computer.

The only firewall that doesn't leak

Unfortunately, most firewalls leak. But our Firewall software is unique in that it passes all known leak tests to ensure the integrity of data entering and exiting your system. We had put firewall through all kinds of sophisticated tests to ensure its firewall powerful enough to ward off these attacks with default settings. No other firewall has had to work this hard. Take this test yourself.