If you're just concerned about people connecting to you, Vista's firewall will do fine.
If you want to do stuff from untrusted networks, I recommend the following:
a) Use SSH to connect to a system that's more trusted, and create a tunnel (-D with console ssh, PuTTy has an option somewhere)
b) Set your browser to proxy everything through localhost (FoxyProxy helps with that, letting you quickly switch proxies)
For example, on Linux, I do the following:
$ ssh -D8080
www.myhomecomputer.comThen, in Firefox, I set my proxy to localhost:8080.
Effectively, all traffic is tunnelled over the ssh session and encrypted till it comes out at
www.myhomecomputer.com.
You can redirect your instant messengers, browser, email, and everything through the tunnel.
Whenever I'm on an untrusted network (Hotel, mall, Starbucks, anywhere in the USA) I do that.