Sygate is a great firewall, i used to use zone alarm, but i've had issues with it re-directing some sign ins and if the site only allows you to sign in from there site.... it doesn't work, I don't know what they changed in there code, but they certainly didn't take that into account.
As for the windows firewall it isn't all that usefull, yes it is a firewall, and you 'can' use it, but it isn't recomended as there are many other better free one's available (I believe there is even a poll on this)
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