Outpost Firewall Pro is a software firewall that will also protect you from spyware, and includes many other useful security extras.
Once installed the firewall will protect you from incoming attacks, as well as monitoring outgoing connections. It automatically creates rules for known safe applications, but still manages to raise more alerts than many competing tools, and these pop-ups can be a little complex: this isn't a program for complete firewall novices.
It's a similar story with Outpost Firewall Pro's Proactive Protection, which monitors your programs for suspicious behaviour: writing to system areas of the Registry, adding IE plugins, accessing memory belonging to other applications, and more. These are valuable tools that really could help you detect brand new and previously undiscovered malware, but they're also prone to false alarms, and you'll need some Windows experience to interpret what these alerts are telling you.
Outpost Firewall Pro has plenty of more straightforward features, though. An ad blocker removes many annoying ads and speeds up your browsing, for instance. There's a site blacklist which prevents you accessing known phishing and malware sites, and an "ID Block" option prevents private data from leaving your PC.
That's the plan, anyway, but if you have a problem with any of these features - or anything else Outpost Firewall Pro does, really - then you can tweak it, maybe turn it off altogether, in the detailed Settings dialog. This is a very configurable firewall and can be set up to work in whatever way you'd like.