Firewall of annoyance

Okay. So recently, after I reformatted my hard drive [a hacker got in and started erasing all my logs, registry keys and rollback dates.] I decided to get a better firewall than the Windows one. When I went to get the new AdAware 2007, they offered a bundle with their firewall, so I went ahead and bought the bundle. Well, the firewall is annoying, really annoying. It's too strict. It won't even remember the rules and exceptions I gave it. And I can't install anything with it on, but I can't run any instant messengers with it off. Does anyone know this Firewall [the lavasoft personal firewall] enough to help me teach it to remember the rules I feed it? Or does anyone know a better alternative to it?
I've been down the road of firewalls and antivirus software sooooooo many times it makes me nauseous thinking about it.

Software based firewalls are worthless in my opinion. Go with a piece of hardware. I prefer the hotbrickor sonicwall.

You can get a SoHo Hotbrick for about 98 bucks.
I'm running free zonealarm under a limited account on xp again and havnt ever had any probs. I can't justify buying any of these "suites" when there are plenty of free progs that do a wonderful job :)
zonealarm is pretty good or....

if you have an old computer, it doesn't even need a hard could put pfsense on it. It is a good, commercial firewall, that is pretty easy to set up and the user IRC alone has currently 25 people who can help you. I bought an old machine for $50 and thats what I am using.

On my old linksys I got about 5Mbs down but now with the pfsense I almost get 7Mbps down and all 768Kps up. Then you don't "need" a firewall on your local computer. It can do things like play games and stuff :D