There are two very good, and free, personal firewalls available: ZoneAlarm (ZA) and Tiny Personal Firewall (TPF).
http://www.zonelabs.com
http://www.tinysoftware.com
ZA is more well known. It is also easier to set-up, more automatic. ZA makes you look at an opening splash screen ad for about 30 seconds when you boot-up and there are links on the main set-up page for ZoneLabs' non-free products. Other than that ZA is free and easy.
TPF is more configurable, if you want to make your own settings for specifc ports, programs, and/or connection attempt either inbound or outbound. It is very flexible. And it is a smaller program than ZA (1.3MB vs 2.7 MB).
I have installed and used both and they are both very good.
There is a site with great tools and info regarding hacking and firewalls (and a lot more). The site is kinda cheesy looking but don't let that put you off - it really is pretty good.
http://www.grc.com
for tools and tutorial on hacking/firewalls follow this link from homepage:
Shields Up! >
-the top of this page has tools for testing your ports (vulnerability to hacking)
-the bottom of this page has infomational links organized by topic
At grc you can also read about ZA, TPF and others:
LeakTest > Personal Firewall Scoreboard > info on each firewall
Besides firewalls, another anti-hacking approach is to close down a lot of unnecessary network services/protocols which Microsoft has enabled by default on your computer. This is what I have done because I worry about firewall slowing down my connection, HOWEVER, I have no evidence that a firewall would do that. I am just guessing. I have heard of cases where firewalls have interfered with various programs i.e. virus, broker, others? i don't know?
I am not even close to an expert, but I did take some time a couple months ago to learn enough not to feel vulnerable.
I was surprised to learn (by watching my TCP/port activity in real time) that I get scanned/probed several times a day by unknown sources. But, from what i can gather, the majority of hacking is minor leaguers who have easy access to hacker programs on the web. A good book is "Hacking Exposed 2nd Ed." ISBN 0-07-212748-1
Don't do nothing. Get a firewall or disable unnecessary network tools (or both). As Babak mentioned, updated virus protection is also important. This ensures against trojan horse programs which can be installed and used by hackers to make outgoing connections from your computer.
The $64,000 question: is my account safe? I wish I knew for sure...