Thanks Rancho for this one. ZoneAlarm is a free firewall, which is recommended again and again. However a firewall is only a useful safety measure for your "online privacy" if it is setup correctly. ZoneAlarm therefore is a good firewall to begin your own argumentation on online security and the safety of confident personal data, because it is not configured via a wild range of ports and protocols.
Warp2Search has now assembled a short guide to setup and configure ZoneAlarm for a typical home user.