I don't know if a firewall would help you with the RIAA - packets of copyrighted music with your IP address are still going to your computer...
In terms of free firewalls, I think Zonealarm remains the best personal firewall. It's not terrible configurable, but most free ones aren't. If you are looking for a beefier solution, use a spare PC and install something like Smoothwall, IPCop or some similar linux based, web-administered dedicated firewall/router.