I second trying to pick up a magic box. In addition to the one Peter mentioned, there's similar devices by Linksys, D-Link, and a few others. Cheap, easy to setup and maintain, and much safer then exposing Windows to the 'net. Basically you plug it in, plug your DSL router into the WAN port and your PC(s) into the LAN port(s), and point your pc's browser to the devices IP address and set it up.

Another option: Do you have an old 486 or better PC laying around? I have a P100/32meg/400megHD box with 2 NICs running headless with [link|http://www.smoothwall.org|smoothwall] running on it. Functions similar to the boxes mentioned above including the nifty web-based interface. It also gives you the ability to run the Squid web cache/proxy, Snort, and does very extensive logging. Cost is nothing but the all-but-junk hardware.