If you want security from a firewall... well, you can't have it, but you can come fairly close. But you need a hardware firewall (a separate box). Running a software firewall on your own computer is not very secure at all.
But if you don't have another box you can use (even just a crappy old 486), then you oughtta try Smoothwall (www.smoothwall.org). It's an open source firewall with only one exploitable hole found in 3 years.