Hi,SunBelt Personal Firewall Manual
It's looks eerily similar to the Subnet tutorial (which your's truely has read), and it appears to be maintained by the same firm - Kerio.
I like Subnet. Anyways, reading the manual and being patient while learning how to use the Firewall (and getting an idea about how firewalls work in general) is a good idea. It does require some patience, but is a rewarding experience. You could, on the other hand, install it in simple mode, which means it would bug you less, but will also provide less protection (detailes on page 17 of the manual). Make your own choice.
If you use advanced mode, a good rule of thumb is not to permit any activity you are not sure was initiated by you or by any program you trust, and to check the "create a rule" box when you're sure your decision is the right one and you want to keep the settings.
After installing the firewall, disable Windows Firewall (Start -> Settings -> Control Panel -> Windows Firewall, there choose to disable Windows Firewall)
Also - and Rorschach, correct me if I'm wrong - you should disable the following service (Start -> Run > services.msc and hit enter):Windows Firewall/Internet Connection Sharing (ICS)Be VERY CAREFUL when fiddling with services, though. If you're not sure of what you're doing, best not to do anything