My experience with McAfee has been very good.  If you are ona DSL line or cable modem, you might want to get a Gateway Router (something like a Netgear RT314).  The combination of the router and McAfee makes it even harder.  All that said, the security people I work with say nothing can be 100%.  Pay careful attention to attempts to penetrate.  Use your firewalls reporting capabilities.  Be vigilent.

Firewalls come in 2 flavors: Hardware and Software

A software firewall is a program that runs on your computer, a hardware firewall is a little box you plug inbetween your DSL/Cable modem and your computer.

For software, all the anti-virus companies have firewalls that work quite well.  There's also ZoneAlarm, an open-source firewall that also works well, and has the benefit of being free.

I feel hardware firewalls are better than software because:
1. In a software firewall, the "bad guys" have already reached your computer before you stop them, and the really, really good ones can thus hurt you.
2. Hardware firewalls give you other features for free, like several ethernet ports so you can share your Cable/DSL line among several computers.

For hardware, the Netgear, D-Link and Linksys "Cable/DSL Routers" all have firewalls and connection sharing built-in, and are all quite good and reasonably priced.

Now, no matter what kind of firewall you get the __absolutely_most_important_thing__ is to keep it up to date.  Each company will have a different way to update their product, but it will be spelled out in the instructions.  It's very important to have the lastest version of their software (or the software that runs inside the hardware firewall), because they fix the "holes" that have been found and keeps you secure.

Happy surfing.
-Foo

Protecting your computer system can't be left to the Firewall. When you tell your Firewall to permit web browsing, the Firewall will permit web browsing, with no care at all if you browse good stuff or bad stuff. If you browse to a website that has a nice link "Click here to download a virus and infect your machine" clicking on it WILL give you a virus. Having downloaded a virus, your only protection at that moment is the skill of your Anti-Virus program. It should quickly announce that a virus has been found and delete/quarantine it, etc.

Equally, if you configure your Firewall to permit ICQ, or an IM program to make a connection to you, viruses will be visiting you soon. Or some hacker somewhere will be happy to install a trojan or keystroke capture utility on your computer for you, usually right after they've disabled your Anti-Virus program. Are you sharing MP3's? Another excellent place to gain access to your computer. The theme of this paragraph is that ANY peer-to-peer protocol permits not only the desired, legitimate use, but opens your computer for illegitimate use too.

The illegitimate use occurs because the programmer that coded up the tool to perform the legitimate use didn't foresee the possibility of someone exploiting their work of art. They were consumed by the trials and tribulations of getting the legitimate functions to work and didn't include error checking. They didn't check to see if "Yes" and "No" were the legitimate responses, what would happen if someone sent a "DIESTUPIDPROGRAM" response? With the program expecting only three characters max, what happens to the other 16 characters in this example?

These are called Vulnerabilities and they can be exploited. Microsoft announces repairs to discovered Vulnerabilities at a staggering rate. If you have not patched every one of your installed programs, including the OS, your computer is available for illegitimate use.

Firewall plus Anti-Virus plus Patching equals Maximum Protection.

I used to run my own server on a DSL line and five computers on a cable modem line with Linksys routers.  I've found that Zone Alarm works tremendously well without a major expense.  You can purchase Zone Alarm Pro for about $100 or download the standard version for free from download.com.   The free version is one of the most top-rated firewall software programs.  I use it with my systems and have never had a problem.