Connecting to the internet without using a firewall is much the same as leaving your house unlocked when you go to work. Eventually, someone will find the unlocked door and wander in to see what kind of valuables you might have.
There are many choices for firewalls, but fortunately there are number of them that are absolutely free.
One of the most popular free firewall programs is Zone Alarm. It is updated regularly and does a good job of protecting your computer.
A few of the other popular firewalls are Agnitum Limited, Outpost Firewall Free and Sygate Personal Firewall. The download pages sometimes change for these, so just do a simple Google search to find the current page where they can be downloaded from.
Without a firewall, your personal information and files are open for attack or even theft. If someone hacks into your computer and gets access to your files, you could become a victim of identity theft.
The small cost of a firewall (especially the free ones!) is more than worth the hassle and problems you would face if someone stole your identity and was posing as you.
If all else fails, at least make sure you turn on the Windows firewall which is part of Windows XP through Windows 8. It isn’t as thorough as the ones listed above, but it will give you more protection than running nothing at all.