You are quite right about having a firewall and using it. I might suggest Sygate Personal Firewall, since it allows you to manage permissions by application, and is light on resources. Almost all firewalls will at the very least, prompt on the first use, but you can usually tell them to "always allow" the application access.
You can find a link to the free download in this BC pinned topic:http://www.bleepingcomputer.com/forums/topic3616.html
Edited by jgweed, 16 July 2006 - 11:43 AM.