the one that comes with windows, it seems pretty weak, but…
Depends on which version of Windows. There was a test done of 50 firewalls, both free and paid. Windows XP's firewall came in as the weakest @ # 50. Windows 7's firewall is alleged to be a big improvement.
Windows Firewall is designed to block out minor unwanted things and it provides a basic protection. It's not powerful enough when we consider the present Hacking Technology.

I recommend Kaspersky Internet Security 2009. It secures your PC from Hackers, Trojans and bla bla…….

And Avira is also a top rated Firewall program. Try that too.

If you prefer Freeeware apps. I recommend Avira and if not, Kaspersky is your only choice.
If you are using Windows XP, it can be made safe and secured with only four files.

1. Windows Standard Firewall
2. AVG free edition (antivirus)
3. XPsafe program (Turns off some files)
4. Pro Port program (Blocks access to all the open ports on the motherboard other than the one being used) You can't get the pro port program I have anymore.

I don't do Vista.
what antivirus/antispyware program you using?