It's certainly the most trusted personal firewall software on Windows. It's also one of the earliest competitors in the market back in 1999. It's ZoneAlarm, and Zone Labs (now a CheckPoint company) is the creator behind it.
Since then, ZoneAlarm has evolved into many different generations and editions - Internet Security Suite, Pro, Anti-Spyware, Antivirus and Free.
Still what I like most is the personal freeware edition - ZoneAlarm Free. Despite its price tag, it provides good enough protection and outbound application control that are lacking from standard Windows installations.
Why am I writing this post? "Hey, many people already knew ZoneAlarm." The latest version as of this writing is 6.5.x. But is the latest always the greatest? Probably not. Zone Labs has combined the Pro and Free versions as a single package some time ago, causing the Free versions to eat more and more memory. Stability of the Free edition also varies, unnecessarily, with the Pro versions.
For this reason, I am staying at version 5.5.094, which is widely recognized as a very solid release. The good news is you can enjoy this version too! It's still available from Zone Labs download site though it's buried deep inside. My tips to you: you can find a complete release history together with links to download most past versions here. Look for the 5.5 Branch and download link. Finally, a few configuration tweaks which are self-explanatory are shown in the picture. Good Luck!