Your PC runs a bit slower
This is a false assertion. A firewall only blocks a few packets by inspecting a few bits from your incoming (or even less, outgoing) Internet traffic. The lists that the firewall must check are very small when compared to the heavy and very complex task that an antivirus has to do.
No, a firewall is completely invisible to you. The problems of performance on any PC (even the slowest outdated ones) do not come from the firewall. If you have internet speed problems, this most probably comes from incorrect performance settings in the TCP/IP protocol stack, or because of incorrectly written applications.
If your CPu is too much active and the temperature never goes down, with the fan constantly running, this does not come from the firewall but because of a bogous application that is leaking memory or waiting indefinitely in a loop for some software or hardware event that never comes, or because tou have too many unnecessary programs that are running in the background and started from boot, when most of these "idle" programs should preferably run only in a scheduled way in a task from the Windows Scheduler, or because your PC suffers from hevy fragmentation and there's a constant overhead when managing the NTFS filesystem, or when updating databases, or because you have an invasive program running trying to index everything you do with your local files.
Some programs can cause a huge CPU overhead, one of these is Adove/Macromedia Flash, that you should keep up-to-date. Make sure you update your graphics drivers, and be careful before using "tweakers" programs for graphics (if you have a notebook/netbook, avoid using these programs, they make things worse, and use the normal default settings for your graphics board, or use only settings that apply to specific games when they are running).
Avoid programs like icon tweakers, theme managers, use a basic background photo for your desktop. You may also close the Windows gadgets (they are really extremely slow and use too much memory and CPU resources !) : if you like gadgets, consider using Google Desktop instead.
Avoid using those many program updaters from various sources. You may be notified from software updates using a central tool that can trak lots of softwares at once (except Windows and Microsoft programs: keep them managed with Microsoft update).
But a firewall takes zero ressources and will definitely not make your PC slow. An antivirus can on the opposite be much slower (I have banned McAfee for this reason, and free antivirus can even do a better job, notably Avira, AVG, and Avast that I now recommend).
Don't use multiple antivirus running in the background! Choose only one. You may still use an online antivirus checker for your emails (that's why now I only use a webmail and have completely abandonned using Outlook or Fedora or Outlook Express : the antivirus is managed and updated by a professional team that also monitors various security sites for you).
You should know which programs are taking CPU time: open the Windows Task manager and make sure to display the full list of process (you'l get an UAC prompt for administrator privileges): you can sort the displayed list of processes by CPU time. Look also for fast growing counters for disk I/O, even when your PC is supposed to be idle : you can reduce this overhead using a disk/registry cleaner (such as CCleaner), and a basic defragmenter (other than the Windows builtin one), preferably running as an automated process (Defraggler can do this background maintenance job quite fast). And about once in a month use a good thorough defragmentation just after performing a maintenance cleanup of the filesystem (launch it when going to dinner or leave it running while you sleep or look at TV, just after rebooting the PC and then immediately performing all pending updates and using CCleaner to clean heavily fragmented temporary files or log files).
Never forget to revisit the list of programs constantly running at boot : do you still need them? Aren't there duplicate functionalities with several programs you no longer use and should better uninstall (with the additional benefit that you will no longer need to update it to avoid security issues). Do you need all these custom toolbars in your web browser ? Uninstall most of these extensions (choose only ONE of these toolbars, e.g. Yahoo! or Google, i.e. tools coming in a collection of tools sharing lots of common components instead of duplicating functionalities), don't just close or disable them.
But the best protection does not come from a firewall. A firewall in fact is very deceptive, and most hacks today are not caused by an absence of firewall, but by security exploits in the installed software that your firewall will connect to the Internet without condition.
If you need more performance, consider adding RAM (4GB is a minimum for Windows Seven, notably in its 64-bit version, so make sure, when you buy a PC, that you'll get the possibility of adding RAM. RAM is very cheap today, and it saves much more CPU performance than using any kind of "tweaking" tool which will take you personal time to use too often).
If you need security, the best you can do is to save time in the maintenance of your PC, so that you an react manually when it is really needed (a version scanner such as CNET update checker can inform you about which programs need updates, and can help you manage when you'll need to udpate them ; among them, the media players, Flash, and Windows programs have high priority); Office programs and Adobe Reader need to be updated only when you use them : it's not needed to update them more often than when you use these programs, as long as you don't let them run constantly on the background.
Disable as many active background tools as possible (instead, all programs that you are currently using contain now an "Help/About" menu that also allows to check for updates (only consider security updates, avoid upgrading when you dont need the extra features and have no time to evaluate them, even if the software starts with a nag screen saying that a new version is there for sale, ignore the "urgent" promotions).
Don't forget, sometimes, to use Checkdisk on your system disk (this requires rebooting) when you have some time to do that (it normally requries a few minutes: profit from your caf pause, or lunch time, or the morning time when you arrive and will go to a corporate monday meeting to let it run).
Finally, never leave your PC session open when going outside of your desk. You don't need to close the session, click on "change user" in the Windows menu, the maintenance tools will continue to run in the background, all you'll need will be to logon again to see the results. You should enable the automatic blicking of your active session in the screensaver settings (10 minutes of idle time is OK, but if you are frequently moving out or need to reply to various emergencies, you may reduce it). Make sure that your windows session is protected by a password at least, don't use automatic logon !