You won't have to do a lot of research on firewalls to discover that Zone Alarm, comes highly recommended. Unfortunately though, there simple are not a lot of tips on effective Zone Alarm configurations.

In Program Control, click on the Programs tab, under the help button. Here you can see what programs Zone Alarm will allow to have access, to the internet. You will see green check marks in the programs that it will allow access. The programs with the dark blue question marks, will ask for your permission to get access. (If it's a program that you will be using often you can configure Zone Alarm to remember your permission or to block when you are prompted later). The red X's are programs that are blocked from gaining access. Review all the programs and settings. You can make changes here by left clicking on the X's, question marks, or the checkmarks, to set your preferences. You can also wait, until you are prompted later, to decide. When you have finished configuring your preferences, proceed to the next step.