It`s not the OC that is vulnerable, it`s the OS and the applications.
A personal firewall is an application itself, and exploits exist to break it (Last I heard was the Kerio personal firewall).
The grade of security increases with a edicated firewall. But still, you have to have packets pass through, which will go to your applications, and might break em.
Port 80 (HTTP) is almost never blocked in corporate networks, AND one of the most easily exploited.
My advise is to think Application/OS centric. so:
- Deactivate Microsoft Network Protocol on your Connection
- Deactivate all "Services" for remote hosts
- Deactivate Active Scripting in IE (!)
- Do not use M$ software at all if possible. They offer the most exploits, and M$ won`t tell YOU until their patch is out. Hackers already know weeks in advance....
- Don`t panic about the amount of portscans etc. attempted

- About the only use for a little dialup PC is breaking for fun (but you can defeat the script kiddies) or use as a slave in a DDOS attack, so so search for backdoors. Get a good virus scanner.