Comodo makes a good firewall, however setting it up can be somewhat of a daunting task being that it has many settings. They do have a user manual. http://help.comodo.com/uploads/helpe...ide_031512.pdf
The firewall built into Windows 7 is good protection. There are several tutorials on this site about Windows Firewall. You will find links to various firewall tutorials at the bottom of this one or you can search the tutorials section: Windows Firewall - Add or Remove an Exception
ZoneAlarm has been known to conflict with Windows 7 in the past and cause problems.
If you get an AV that also has it's own firewall, this will take the place of Windows 7 firewall. By default, it should disable Windows Firewall and take it's place.
Yes, a firewall is a must have nowadays. I believe the last time it was OK not to have a firewall was around 1998.