A firewall basically filters all incoming and out-going traffic from your network. Thereby even a Trojan or Virus can't really do anything much with the details or information it would have collected from your PC.
I have been using Comodo Firewall for sometime now (maybe a couple of years). Comodo FirewallPro will secure your system against internal attacks such as Trojan viruses, malicious software, and external attacks by hackers and the best of it all is that it is Free for all non-commercial purposes.
It comes with a very user-friendly single click interface you can allow or block access to the Internet offering complete immunity to attacks and total protection of your personal information. Real time traffic monitoring enables you to react instantly to threats and identify bandwidth bottlenecks. Silent Security Technology means no needless alerts with out-of-the-box protection against hackers, Trojans and other unknown threats.
You can download the free edition from here.