First line of defense is your routers hardware firewall. Next is your computers Software/OS firewall.
Windows Firewall should be plenty good enough. Vulnerabilities are patched for the Windows OS and all its features when exploit is known.
If your connecting to wifi other than your own you may be secure by firewall, but all your network traffic can be sniffed by others on that network no matter what you have for a firewall. So I always avoid using my credit card, going to paypal or bank websites, or any personal accounts from others wifi sources and only access that information from my home network which I know is secure and no one is sniffing my local packets.
If you need to make exceptions and custom rules for firewall then you might find Windows Firewall to be a pain for that, but most exclusions are easy to accomplish with Windows Firewall unless some advanced firewall configurations that another Software Firewall would allow for.
Many years ago I use to use Zone Alarm Firewall, but Windows Firewall has been used every since upgrading from Windows 2000 to Windows XP and no problems and exceptions that I needed to make worked fine.
One thing that you might want to check into though is a Internet Security Service that watches for bad websites and scripts and warns you when something is trying to mess with your computer which Windows Firewall generally doesn't block. This type of software runs along side your firewall either Windows Firewall or another trusted software firewall.
