Which Firewall is the best?

Yeah, in fact, the internal windows xp firewall only controls inbound connections, but that is not all, that should be controled. This topic is also a debatable one, because many users state, that a router should be protection enough. Personally i use both. I recommend you a security suite like G-Data oder Bitdefender. Norton is still not bad.

I am not sure if I have a router
Where can I get the free zonealarm firewall?

I went ti the zonealarm.com website and there to "download", but is has only buy and 15-days-trial versions

Alternatively you could try Kerios Firewall. I haven't tested it yet, however, it is said to be a good product.

The free version runs like the commercial one for the first 30 days, after that with limited (but sufficient) features.

http://www.sunbelt-software.com/Kerio-Download.cfm

cheers
JoSsiF