Here's a good list of Personal Firewall software at this site. Its arranged in some handy categories like Top Picks Personal Firewalls; Gone or Fading Away ; Not Recommended.2 of the firewall software I've used before is ZoneAlarm Pro from Zone Labs and Sygate Personal Firewall.
ZoneAlarm is their well known and widely used personal firewall that is free for personal use. Note: Zone Labs was purchased by Checkpoint in December 2003. Sygate Personal Firewall (former vendor's site). Symantec Shelves Sygate Personal Firewall, Paul Roberts, eWeek, November 28, 2005. Sygate was purchased by Symantec (Norton) in August 2005.
Personal Firewall Reviews source
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