If your after purchased software, I can recommend McAfee Internet Security.
This comprises of firewall, antivirus and internet security.
firewall stops anything getting in, internet security stops anything getting out without you knowing about it and viruscan checks everything that does come in or out.
The internet security part is, well, not very silent as it warns you loads and it is very tempting to just switch it off, but I suppose this is until I have set up all regularly visited sites.
For each site you can set whether to accept cookies permenantly onto your PC, or just this session.
Yes / No Filter this site.
Allow / Warn / Block Direct cookies.
Allow / Warn / Block Indirect cookies.
On / Off Referer filter.
On / Off Ad filter.
Allow / Warn / Block Web bug killer
On / Off Popup Killer
It shows stats for each site, you can assign login names and passwords for each site, these are encrypted and you have to drag and drop them etc.
All traffic is monitored and you initially setup information you want blocked, like your name, your e-mail address, your telephone number, the last 8 digits of your visa card etc, and whatever you want within reason, now if anything tries to send any data containing anything from your restricted data lists, it is stopped and your permission is asked or you can set it up so it blocks it period.
This is incredibly useful if you have children with their own user entry on a multiuser PC, as you can enter your childs name, address, telephone number etc which will prevent them from giving out their details etc.
The list of features goes on and on....
It can be a little bewildering at first due to the amount of options available, but this in turn makes it very flexible and if set up correctly, very secure.
If you want more info, go check out
McAfee Internet Security
Note, I have nothing to do with this site, just sharing advice with people.