I've got it all setup now.
Thanks for y'alls help.
I downloaded & installed KMyFirewall & GuardDog. I ended up using GuardDog and am quite pleased with it. ShieldsUp! said my computer was better protected than my old Vista computer with it's fancy commercial firewall.
I do have one slight issue with GuardDog though. I have the ping box unchecked so I should just be block pings. When I get a ping my computer should
just ignore it. However, it is still responding to them. The only things I have active are IRC, XMPP (Jabber), HTTP, HTTPS, and DNS. Any ideas?