the Windows Firewall that came with SP2. It only blocks incoming and not outgoing but as long as I don't get infected, I have nothing to worry about. I also don't keep any personal information on this computer such as credit cards, SS#, etc. It is not something that I recommend for others but it has worked for ME personally so far so I will continue doing what I'm doing. If you check my profile, you'll see that I use tons of programs for both protection and also for testing though.
If memory serves me, you posted that you do not use Zone Alarm. What firewall do you use?