If you want the technical lowdown of personal firewalls, ask around at comp.security.firewalls - tons of good info in there. The general consensus seems to be that among the more popular personal firewalls, BlackIce seems to be the favorite (that's what I use). If you REALLY want to get your hands dirty, try Conseal -
http://www.consealfirewall.com I think. This will let you set things down to minute detail. You may not want to bother with this, though.
However, an even safer way to surf is to do what Leon is doing - there's a reason that he's not getting any alerts anymore. His SMC router is probably NATting his IP address so no one on the Internet can actually see his PC - they can only see the router. NAT (network address translation) works by taking the valid IP address you get from your ISP for the router, and then assigning your PC(s) dummy IP addresses in an invalid range (10.x or 192.168.x). The invalid ranges cannot be used on the public Internet, so no one can actually see your PC. All requests are sent through your router, and valid requests are forwarded to your PC. Of course to do this, you would need to buy a cable router (SMC, Linksys, Netgear, whatever) which typically run $100 - 150.