I found this great article on how to create your own firewall, with no software to install.
It is at: http://wopr.norad.org/articles/firewall.
[Sudo Editor's Note: A firewall can be a very important thing, especially if you have a full-time internet connection via DSL or cable modem. Although we have covered Firewalls on MacOSXHints.com before, I felt it worth while posting this article which explains what a firewall is, and how to use OS X's built-in tools to help protect your system. I think it is well worth reading this older article also, before you try to modify your current settings. After all, the security of your machine could be at risk.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020305211141544