I'm not a huge fan of any software firewall, considering them all to be about equally worthless, but the Windows firewall is good enough for the majority of people's uses. I know plenty of people will disagree and ramble on and on about how it doesn't do outbound protection, which is untrue, and a whole host of other things. The protection afforded by any software firewall is like a wet tissue at best, so one is about as good as the next.
I often see the misguided argument that programs like ZoneAlarm or Sygate's firewall are good for keeping malware from reporting back. I say it's misguided because it seems efforts would be better spent on making sure such things never get on your system to begin with. Not just giving up before the fight even begins, and focusing on damage control. I shamelessly lifted someone else's tips of some simple ways to keep yourself safe from virtually all malware, which I'll include at the end.
If you've already got some malware, then the first thing to realize is that sometimes there is no way to remove it short of formatting. Sometimes, even if you do remove it, the damage to the system has already been done and is irreparable. It's fine to hope this isn't the case for you, but it might not be a bad idea to make some backups now while you still have a working system.
After that, download and install as many of the free scanners as possible, since no one program will catch everything. You also have to be careful in that some programs claim to get rid of malware, but come bundled with their own malware payloads. The ones I trust include Spybot, Adaware, whatever Microsoft is calling theirs now, Ewido, and Housecall (an online scan).
Once you get them all installed, you should turn off system restore and do all your scanning in Safe Mode. Otherwise, there are protected areas that the malware could hide out and use to resurrect itself. If you don't know how to do this, a few minutes searching with Google should be all the education you need.
Finally, the tips I borrowed from someone regarding avoiding malware in the first place. It's up to you to follow them, but the more you do, the lower your risk of problems.
1: Don't use, with the lone exception of getting new security patches, Internet Explorer or any browser based on Internet Explorer. Make a choice between Opera or Firefox, and avoid IE like a diseased animal that should be put down
2: Avoid using Outlook and Outlook Express
3: Avoid all file sharing programs
4: Avoid all pirated programs
5: Make sure to keep current with all security updates which Microsoft tends to release every second tuesday of the month. It's the one and ONLY time you should be using Internet Explorer
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