There are tons of software firewall that I can suggest using but they are all expensive or are super hard to control. Most of the freeware firewalls have already been cracked and bypassed by trojans so there is really nothing good out there.
AOL firewall - useless and causes more problems than solutions (requires AOL adware amongst other things)
Zone alarm - very troublesome if you dont know how to manipulate ports.
Norton (ghost) - super expensive and complicated, but really good.
The best firewall you can probably have is a linux OS. Learn how to use linux and unix and you can make your own firewall. If you dont want to learn how to run linux then just learn how to avoid spyware/adware/viruses in other words, be paranoid about files and don't go to adult sites.
As far as the personal firewall rule in your University, it sounds like pure BS. The only reason they may do that is to be able to access your system or because they dont want to have to deal with your questions as to why you cant connect to the internet.