I recently built a new computer, my first XP machine. The built-in XP Firewall blocks my two network printers, as well as prevents me from copying files to and from my wife's ThinkPad.  
 
On my previous machine (WinME), I used EZ-Armor Firewall, a derivative of ZoneAlarm. It had a number of customizable settings, many of which were greek to me. I never felt like I was getting the most out of it  because I had no clue how to set it up, and the help files weren't very helpful. But at least I could access my network (although not consistently). But I digress...
 
I ended up turning off the XP Firewall on my new machine out of frustration because I couldn't seem to figure out how to get it to work with my LAN. Not a good idea.
 
I'm eligible for McAfee's Personal Firewall Plus through my Internet provider. Does anyone have experience with this one?  
 
Although I'm technical enough to have built my own PC from scratch, perhaps what I really need is a primer on firewalls.
 
Suggestions would be welcomed.

I use Zone Alarms free version.  Find its very easy to use.  Pops up when something wants access.

I don't use personal Firewalls or Windows Firewall. If you do decide to use Windows Firewall, you just need to create "Exceptions". These are applications that are "allowed" on your Network.