If you're looking for a decent but free firewall, look no further than Windows. The built in Windows Firewall (included in all Windows versions starting with Windows XP SP2) is just fine for most people. Another thing you should do is go buy a router if you don't have one. If you do have one, you're as safe as most other people. Even if you just have one computer, a router is a solid investment. You can get one for under $50 from most computer stores.
The Conficker worm is a lot of hype without a lot of danger. Well, actually that's not entirely true. It's a lot of hype without INCREASED danger. The frenzy over Conficker is odd because it's just one of many different worms that creates "zombie" computers that attach to a botnet. It's more complicated than most and harder to get a handle on, but aside from that, the only thing it has that most other worms don't is a date. By including a date when it would check for updates, the writer (inadvertently???) ruined its effectiveness. News agencies started latching on to the "worst possible scenario" and people started freaking out.
The good news is that the publicity led people to worry about Conficker and get it removed. The last thing one of these viruses really wants is attention. Most go out of their way to leave your computer running in a seemingly normal way. This is because they don't last long once people know they have them. Some experts believe that since Conficker became the target of all this media attention, it was removed from over 95% of the computers it was infecting.
The bottom line is that you just need to run Windows Update's Automatic update feature and get some anti-virus software and keep that updated. The exploit that Conficker originally used to gain access to other people's computers was patched by Microsoft a month before Conficker was released. Therefore, the only people who got infected were people who didn't follow those two simple steps.
Good luck, and keep that computer updated!