why exactly do you want a firewall? In all honesty, they're nigh on pointless for normal users.
Granted, I work for a private network ISP and the lark, but i've never had a firewall (apart from default settings on a router). and never had any issues. My dad's computer had zonealarm (ages ago), and it did nothing but kick up a fuss about things being blocked, even though nothing was wrong. (false state of security).
Software firewalls (unless setup properly) are practically useless, they're dead good at blocking programs you want to use, don't really have much of an effect on spyware (it'll still be on your computer, whether it can get to the internet or not), and wont pose more than a 30 second challenge to anybody who actually wants to hack your computer.
Free virus programs like AVG and adaware are much better for stuff. But again, it begs the question why do you want a firewall?