No matter which firewall you chose from either the Free or commercial categories you should always and on a regular basis test it for holes. (Open "ports" are like open doors on your house). You need to test specific ports because many hostile programs used by hackers open these ports and transmit and receive data through them. so by blocking them you can neutralize some function of the hackers tools.
Here is a few web based firewall test sites you can go to and check you security:
HackerWatch
http://www.hackerwatch.org/probe/
HackerWatch
http://www.hackerwatch.org/probe/
Audit My PC
http://www.auditmypc.com/
TestMyFirewall
http://www.testmyfirewall.com/
Firewall Leak Tester
http://www.firewallleaktester.com/
PC Flank
http://www.pcflank.com/
http://www.auditmypc.com/
TestMyFirewall
http://www.testmyfirewall.com/
Firewall Leak Tester
http://www.firewallleaktester.com/
PC Flank
http://www.pcflank.com/
Brief explanation about HackerWatch
HackerWatch is an online community where Internet users can report and share information to block and identify security threats and unwanted traffic.
With 2,000 malicious threats emerging each month, Internet users must continue to employ proven methods to safeguard vital information. Although firewall software is essential, HackerWatch is unique in its mix of community participation and proven technology: by analyzing corporate and individually-submitted data, HackerWatch reveals meaningful patterns of attacks, hacking attempts, and disruptions. Once a pattern is mapped, the appropriate authorities and ISP carriers can be notified.
HackerWatch delivers a truly proactive and direct approach to Internet security protection.