You can read this if you want, (I like stuff like this.) This is a good explination of programs and what ports they use. Not to mention a good source on what TCP/IP is.
I inturn have always opted for a good hardware firewall. Like Linksys Switch/Router/Firewall systems. Nice, small, and with the abilities to hook up up to 256 computers (Hub), definatly a good investment. Only $69 at Bestbuy.