The Firewall included in Windows 7 is IMO quite enough.
In the last few years personal firewalls have been following the same trend as antivirus software, which is, increased bloating, invasiveness and feature creep, as a consequence of incresed competition on the market and relative stability of the underlying technology.
This has a serious impact on both the computer performance and the ability to perform everyday tasks, as these programs have a tendency to interfere with the correct operation of many legitimate programs.
Also system stability is at stake, as personal firewalls need to install drivers that, due to lack of proper testing, can cause the machine to crash (BSoDs) or otherwise function improperly.
If you need help in configuring Windows Firewall, this is a good starting point: http://www.wilderssecurity.com/showthread.php?t=239750