firewall

As for which one any of the ones currently available will work it just depends on your personal preference.

Col

online armor is my choice.

more than adequate. Especially if you are using a router. All the rest -in my opinion- are far more hungry for resources and bandwidth than they are worth. Generally, they are more annoying than most malware.

I would use windows firewall. It has been quite effective with me.
Considering out-of-the-box configuration, some firewalls out there will have a better web protection engine, when it comes to detect spam or harm webdomains... but this could also cause you to have more pop-ups warning or setup exeption rules about sites you actually want to visit...
I am not saying this is bad or good!! just depend how you see and want to handle your protection... For me it has been enough.

I also use Avira on my new build desktop with Windows Firewall, and haven't had any issues with comptability or with blocking the wrong apps.