Hi Nancy. I use software firewall, Zone Labs, Zone Alarm Pro (not free). They do have a watered down free one though. Another alternative is to use a hardware router.
If you are going to have to pay for it anyway, I prefer the hardware firewalls. They put less load on your computer, there is less chance of screwing up your computer, they are faster and they work well.
They also allow you to hook more than one computer up to the cable line... Amazon had a top rated one on sale for 59.95 after a rebate.
Nancy, as Dan and Alex said, get a router. That's what we did and I love having 3 computers on at the same time if we want to and not have to worry.
Enjoy your cable modem, I know I love mine!