It is better than no firewall, but it is hardly as sophisticated as other third party vendors like Sygate, Zone Alarm, etc.
First, you need to eliminate the viruses, trojans, and spyware off your computer. There are a number of free virus softwares that you can use - Anti-vir and AVG come to mind. You will also need Ad-aware and Spybot Search and Destroy. Also, install Spyware Blaster.
You would serve yourself well, if you are on a broadband modem by installing a router between your computer and your modem. It will kill the random pings that set software firewalls off.