The Windows firewall is fine and I use it on most of my machines. I think Zone Alarm still has a free version that adds 2 way protection. The built in Windows firewall only blocks incoming stuff.
If you have broadband your hardware (DSL modem, router, etc.) usually adds another layer of protection with NAT and/or a hardware firewall.
A good place to test your vulnerability is with the ShieldsUp program at
www.grc.com. It is a free program that tries to get past you computers defenses and gives you a report on the results.