This software protects your computer from outside traffic, such as viruses and maybe a hacker wanting your personal information and the control of your computer. Even with a dial-up connection it's recommended to use a firewall software, with solid connections to the Internet (xDSL, Cable, LAN etc.) it's a must. Windows XP comes with it's own firewall and Service Pack 2 update strengthens it. This built-in firewall is far better than nothing, and more than suitable to a dial-up connection, but I prefer to use something with more punch in it. There are also free firewalls available, due to the fact that everybody should have one (everybody benefits from it) most software companies offer a free lighter version of their firewall solution. A good firewall solution is definitely worth the (usually) low cost, and nowadays there are solutions with firewall and anti-virus put together, which saves the processor power compared to having both as a separate solutions. Having all eggs in the same basket? Doesn't scare me...
ZoneAlarm, Zone Labs, free basic version
I've used for a long time and I liked it. They have this new version with anti-virus software built-in, sounds good. Personally I recommend this one, good layout and easy to use for a total beginner. Seems very effective!
Kerio, Kerio Technologies Inc
No personal usage experience but said to be easy to use. Seems much like ZoneAlarm.
I use this nowadays. I don't recommend it much. I find it a little too complicated and not too user friendly. I found the newest ZoneAlarm too complicated to configure properly and it doesn't work together with my trusted anti-virus software so I was forced to change to Sygate...