The easiest thing is trying the Windows Firewall. I'm using it and it works OK for most things, however it has some important shortcomings in some aspects and if you're technically skilled it might annoy you. I like the extensive configuration options in the advanced panel (the basic control panel applet is quite incomplete). Maybe it's worth a try at least.
I also tried ZoneAlarm but discarded it since the configuration options were too few and can barely setup rules.
Softperfect personal firewall is good, but lack the "filter by program" option, which I consider essential, but with good popup messages on unwanted connections.
Not tried anything else so far.
TinyWall is NOT a firewall. It's just a front end for managing Windows firewall with a nicer interface.