The problem with the Windows Firewall is that it only monitors traffic going out. If you accidently download a malicious piece of software, you will never know that it is contacting the Internet. Firewalls like Zone Alarm
(which has a free version though you really have to look for it) monitor traffic going to and from. It is annoying when it pops up messages about some program contacting the internet and I've had to do searching when some unknown program suddenly wants access, but at least I have an idea of what is going on with my computer (can't tell what they're sending
If you have a network, I would recommend a router that has a Firewall in it. Otherwise, you can't share files easily within your network.
Firefox is just a browser; it does have a more secure interface than IE but it doesn't monitor any internet traffic.
At least M$ has implemented a firewall and has it turned on by default. There were problems where a machine was totally overwhelmed with junk before the first Windows update was downloaded.