I seemed to notice the security balloon start popping up when I first downloaded Avast,
Sorry I haven't reread the whole thread but what security balloon, do you mean the avast Alert with accompanying ear splitting audio alarm ?

Installing a firewall is no different to installing a program, download the setup file and execute it.

  • Zone Alarm free http://www.zonelabs.com works fine with avast and has a reasonably friendly user interface. If you chose Zone Alarm free you will be asked a compatibility question, answer NO.

There are others, Sunbelt Kerio, Jetico, etc.
See some firewall tests for comparison, some are freeware but many are paid for versions http://www.firewallleaktester.com/tests.php. Also see http://www.thefreecountry.com/security/firewalls.shtml