Use ZoneAlarm, it's an excellent firewall.
As for wake-on-lan, you can disable it in the BIOS. If that's not enough, crack open that case and pull the WOL cable out. Most NICs that support WOL have a little cable running from the card to the mobo. Just unplug it and viola!, no WOL to worry about.
Another way around the WOL feature is to turn your computer off by the power switch on the PS. Or, you can use the ultimate hacker-proof method, yank the cable out of the back.
The only problem with BIOS passwords, etc is that if you don't physically lock your case, there's always the "clear CMOS" jumper....
Hey, go ultra-high security...I second the weldbond.