Setting up dedicated firewall

I have been asked to install a low-cost network at a small business. They are very concerned about security on their broadband connection, and a dedicated firewall would be the answer.

My question is: I’ve heard of software that can run on an old Intel system (486/Pentium) that runs without even an O/S or HD installed. Is such a product available? Otherwise, would I be best off isntalling a small hard drive and a minimal version of Linux?

Thanks.