Yes, I've heard the Windows firewall can be a bit.. "holey". Comodo or Zonealarm are the best free firewalls.
A non-free, but superior, solution would be a hardware firewall provided by most routers. They provide much better protection as It acts as a "go-between" and prevents malicious entry into your computer, kinda like a gate keeper.
As for Kapersky, it has a higher rate of detection than any free anti-virus, as such it is a consideration for those who want to spend money on the best protection available.