I use a separate PC for a firewall, it runs IPCop.
It requires it's own computer, and you have to setup a network to work with it. i.e. switch and ethernet cables or even wireless.
I also have POPFile SPAM filter running of it mostly to protect the Wifes PC. I don't get SPAM.
She runs W2K and Avast AV on hers. I run Mandriva Linux on mine, I also have Privoxy, running on mine to block the ads.
I admit this may sound a bit extreme, but I downloaded a virus once and it took quite a bit of work to remove it.
My wife think I am nuts when it comes to Internet Sercurity.