Perhaps you want to review Stem's excellent tutorial on Windows XP Firewall should you decide to stick with Windows after other members offer their suggestions.
You only need one running. The XP firewall is the easier one to use so you might want to stick with that.
You definitely don't want to run both of them at the same time. Ghostwall will show you a lot more information. Which you use depends on how much control you want. The nice thing about the Windows XP firewall is you turn it ON and then basically forget it If you want to get your hands dirty then Ghostwall will enable you to dig in.
