If you need a free and easy to use firewall for Windows, you can try WIPFW. WIPFW is a port from FreeBSD IPFW. You can download it for free from Source Forge website at: http://sourceforge.net/projects/wipfw
To install WIPFW you need to download two files, one is the WIPFW firewall and one is the GUI Frontend.
I use the stable version wipfw-0.2.7.zip, to install it extract the zip file and run install.cmd file. It will install the firewall and setup initial rules.
The extract the GUI frontend qtfw_win-beta.zip and double click on qtfw.exe, you will get a window where you can create firewall rules.
For example you want to deny all requests to port 80 on your computer. You can use the GUI Frontend so it will form a rule that will look like:
Add 00101 deny tcp from any to me 80
Combined with SquidNT you can force all users to use proxy server instead of direct connection to the internet. For that you need to open port 3128 for users on your network:
Add 00101 deny tcp from 192.168.0.0/24 to any 80
Add 00102 allow tcp from 192.168.0.0/24 to me 3128
Where 192.168.0.0/24 is your LAN IP ranges.