About firewalls, put a router between your pc and the modem. Hardware firewall...better than any software one.
I highly recommend using a layered approach using both a hardware firewall and software firewall. A hardware firewall is very effective at limiting risk of outside attacks, but is not as effective at blocking malware that is installed on your computer. This malware (adware, trojans, etc.) can make it onto your computer by being packaged along with other software that you install, 'drive-by' downloads thru use of ActiveX controls by malicious web sites, infected e-mails, and other means. This malware can then serve up pop-up ads or automatically download some of it's equally evil friends. A hardware firewall does not normally distinguish between 'good' or 'bad' programs accessing the internet for whatever reason.
This is where a software firewall (such as Zone Alarm) comes in. Most software firewalls offer 'program level' security. Whenever a program tries to access the internet for the first time, the firewall program is going to ask you if you want to allow that program access or not. It does take 'active thinking' on your part since you basically have to tell the firewall that each 'good' program (like Planeshift

) is allowed to access the internet, but this also means that you have the chance to catch and block the 'bad' ones as well.
While one hardware firewall can protect all the PC's behind it on your network, software firewalls have to be installed (and configured) on each PC.
@Ralleyon:
Although in a corporate environment the routing and firewall functions are sometimes served by seperate physical devices, your description accurately describes 'consumer level' routers (usually called Cable/DSL routers). Very nicely written.

More often than not, they also include a switch (usually 4 ports) effectively providing three functions in one device. So with one of these routers you can share your cable or DSL internet connection among four PC's (many more if you have more network switches) while enjoying the benefit of a hardware firewall also.
I always recommend using one of these routers even if you only have one PC using a cable or DSL internet connection just for the protection of the hardware firewall. The default configuration of these routers 'out of the box' is usually not very secure, but is still better than none at all. By reading the user's manual that comes with it and reading a little on the internet, you can usually secure them even more.
@Darkneel:
XP, no service packs?!?!?! No firewall?!?
I whole-heartedly agree. Service Pack 2 should be the bare minimum level for Windows XP that anyone should even think about running. If you are ever in a position where you have to wipe out a machine and install a fresh 'Pre-Service Pack 2' copy of Windows XP, then please, please, please download Service Pack 2 using another machine, burn it to a CD or copy it to a USB stick, and use that to install SP 2 on the fresh XP install
before even thinking about plugging that PC into the internet. Use the same method to install virus protecton and a software firewall also. Then, and only then, connect the machine to the internet and
immediately download the rest of the Windows XP updates and virus scanning software updates before doing anything else.