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1. Zywall 1 swich. it's a 4 port internet swich with a build-in statefull inspection firewall it's around 300 euro (a bit less)
2 "Den personlige Firewall" is a danish developed personal firewall (a bit like zonealarm and Tiny) but with much better security. It's installed as a service and not as an application. This way it's fast and can not be stoped by a trojan, it must be removed from your system and that requires a reboot on your system. This firewall can be seen at callisoft.dk.
If you are interested in file sharing you really should have some sort of firewall. There are many weak points in the security of windows systems. However for some good news for windows 2000 users [securityfriday.com...]
Do a google search on "IIS security" check out CERT recomandations and look at microsoft.com/security and msdn.microsoft. When all this is don come back and lets talk firewalls
Sorry it is clear to me now that i missed the point of your question. I have fixed so many lacking business setups that i got suck on "make my home PC as secure as possible" and missed the point.
tiny web [ritlabs.com...] is a small lite weight program which appears to be optimized to use little resources but provide full functionality (I would not use it to host a site which will have heavy use). It allows the IP address to which it is attached to be set. Setting the address to 127.0.0.1 appears to block any remote access (in every test i have run). It also has a cgi-bin directory for perl scripts.
I am to fearful of any none professional microsoft web server to consider them anymore. Professional microsoft webserver means many patches and updates and checking for new updates almost all the time. I don't want to do one but not because they have no value but they are a big target.
I don't know that tinyweb has no hole but they are not a targer at large on the internet.