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First off, the windows firewall is a POS, it has close to zero configuration options, and like windows, has more security holes than swiss cheese.
If you are looking for a windows based firewall, zone alarm by zonelabs is quite stable, and easy to use with some intermediate configuration options.
Kerio is also good, slighty more involved user interface, but then that's to be expected when it is as configurable as it is, and it dosen't use a great deal of system resources when running which is a bonus.
However, if you wanna do the job properly, I recommend getting another PC, any thing will do really so long as it has 2 network cards, I'm using a pentium 200 atm, and that's overkill. Install on it smoothwall GPL, a linux based firewall/router/DHCP/...etc Very good, stable (mine never gets turned off, and never fails) and you can configure it as much as you like, you can even go in a completely change the source code if you like, such is the nature of linux, but some simple modifications of the IP routing tables is sufficient (haven't you always wanted to block your little sisters neopets, now you can)
Well that's my 2 cents.
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