Commercial products called personal firewalls are designed for use on PCs. These types of products, Norton Internet Security 2009 (www.symantec.com) for instance, range in price from free to about $60. Now that Windows includes an integral firewall, add-on products might no longer be necessary, and I don't think that it's worth paying for a software firewall program for Windows. Windows Firewall is good enough, it's free, and it's built in. It's far more important that you keep Windows and all of your add-on applications up-to-date, and use Windows Defender or a third-party antivirus/antispyware program.
Microsoft's Internet Connection Sharing (ICS) blocks incoming access to other computers on the LAN, but unless Windows Firewall is also enabled, it does not protect the computer that is sharing the Internet connection. If you use ICS, you must enable Windows Firewall on the same connection, or you must use a third-party software firewall application.
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