These days surfing the web without a firewall on your machine is like having unprotected sex with someone you don't know too well! You should all have a firewall on your machine. Let me recommend a free one you can download from Zone Labs:
Works like a charm. It will probably speed up your web surfing since it refuses all sorts of requests that sinister types are making of your machine without your knowledge. The Professional model from Zone Labs, which you have to pay for, has the best popup blocker I've seen.
Additionally, though not as essential, is a popup blocker. A good free one is the Google Toolbar. You can get it here:
Note: I highly recommend these free products and I believe they will help anyone running a Windows operating system. However, I am not responsible for any problems they may cause on your machine. As with any program, install at your own risk.