Most routers can act as a rudimentary hardware firewall. Some even come with firewall software. Combining a router with ZoneAlarm should be enough--but make sure that your router's firmware is up-to-date. More than one manufacturer has reported vunerabilities that can be patched this way.

You can test your firewall status using ShieldsUp! (GRC.com) which is part of one of the most useful service sites on the Internet--especially when you upgrade to Windows XP. You want all your ports to be "stealth."