i recommend PeerGuardian. it's not the strongest program out there but it's been known to block things that have gotten past my other firewalls. particularly good for anyone using a P2P ( not that i encourage that sort of thing

) as it stops those cute little back-door connections. i've started to run it with Spybot S&D and a few other protective systems and i haven't had a problem since. it's free at
www.methlabs.org