To be honest the Windows Fire Wall has been around for a while now and has proven its self as not a bad firewall for free. I have seen people using the IPsec client and scripts a access list based on this.
There are free firewalls that you can use however I don’t believe they will really make the unit more secure. If you are really worried you can use the Sygate client that supports in and outbound access lists and also controls which exe’s are allowed to run. Down side is it costs money.
Finally all firewalls have some performance hit however it should be small.