but I always stay away from the latest and greatest or bleeding edge.
bleeding edge technology and security do not go hand in hand.
reason being, is that older versions have been time tested and exploited. Where a brand new release has not had it's time in the field to be exploited.
So I say, get the 2000 copy, it is still recent enough to be viable, and configured it properly.
When it comes to personal firewalls, The biggest thing you want to do is really to block all incoming requests. You are not running any services so no one needs to make any initial requests to your machine.
While I am not a big believer in allowing all outbound connections, unless you are going to spend the time and learn how outbound connections work and what you need to have open. You should set it so that any outbound connections outside of tcp 80(web), 443(ssl), 110(pop e-mail), 25(smtp), udp/tcp 25(DNS). FTP is a little harder because it requires a inbound initial connection to your machine from the ftp server.
With ftp I always say it is better to say allow initial requests from tcp 20 to ports over 1024 then it is to say from tcp <1024 to tcp <1024, which is how passive ftp works.
I know that I probably just got ahead of youand I apologize. It really depends on how paranoid you want to be.
I personally keep a extremely high level of paranoia. But I also know that there are other people out there like me who understand how to circumvent and exploit security devices.