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ZoneAlarm is a firewall.

A firewall is basically the program that stands between you and the internet. It can prevent rogue programs(such as spyware, or trojans) to connect to the internet, and it can also block access from the internet to your computer(hackers).

Zone Labs offers ZoneAlarm free for "individual and not-for-profit charitable entity use (excluding governmental entities and educational institutions)."
Basically, you can use it for free on your computer, or in a non-profit organization, but you can't use it on a business, school or a government computer.

ZoneAlarm is great because it is easy to setup. You install it, twist a few settings, and presto, you have a firewall up.

Firewalls are especially important nowadays because there are people out there always probing computers to find vulnerable ones. ZoneAlarm will alert you these probes.

Get ZoneAlarm

On average, I get in between 20-30 probes a day. I know this because ZoneAlarm tells me.
Who knows how many might get into my computer if I didn't have a firewall up?