Wait..what? Firewall does not mess up the internet connection. Probably something is wrong with your connection.
etrust's firewall is a good one. And off course zone alarm is good, but i wouldnt reccomend you to take zonealarm if your pc isnt too fast. But still.. the best way to "be safe" is by keeping your windows updated and dont do stupid things; dont open unnessecary ports, dont download unknown files, be careful with your passes etc. good luck mate! (i would try etrust if i were you.)
If you can find a copy then download Sygate firewall. Was the best until it got taken over by syemtec. Now they suck
Why wont you use the one that comes with Windows XP? If thats the OS you have. I haven't had any problems yet.