Ogre, people have said a lot, but I'm not sure on how much you know what they're talking about, so let me clarify things for you.
First of all, there are two types of firewalls - software firewalls, and hardware firewalls. Hardware firewalls are usually found in routers.
If you have only one computer in your house and don't plan on getting a second anytime soon, go for a software firewall. You can find reviews of the big players - BlackIce, ZoneAlarm, etc - almost anywhere. Start at cnet.com, pcmagazine.com, maybe even techtv.com might have something.
However, if you have more than one computer, or plan on getting a second computer in the future, go for a router (for those of you that don't know, a router is a little magical box that you plug your cable modem and a few computers into, and then through the powers of jeebus, they're all networked together and your broadband connection is shared). I'm pretty sure all consumer-oriented routers have firewalls built in, but you should check. As for what router, as long as you don't plan on doing anything advanced (i.e. run your own server), the Linksys ones are nice and user-friendly (however, once you do try and run your own server, you're gonna want to shoot the ol' Linky
).
As for file-sharing and print-sharing, as long as you have some firewall, you can be reasonably sure you're safe with these options on. Keep in mind that just because you have a firewall, it doesn't mean you're completely safe - there most likely are tricks to get around one, but that's only if you're very determined to get around it, and quite honestly, i'd say most hackers just try and find another unprotected victim. The point is file-sharing and print-sharing are a convinience when you have a home network, and if you have a firewall (either hardware for the whole network, or software on every computer hooked up), you shouldn't worry about turning these on.
If you're still paranoid about file and print sharing, do this: just share the directories or partitions that don't have something uber-important. Like me, I
don't share my C (windows) drive, but I do share my mp3's partition, my media partition, my Documents partition (all my "important" documents I keep on the C drive, which isn't shared). Doing this you still have the convienience of having shared files on your network, but your paranoia can be put at rest since even if someone does get by your firewall, they'll have a hard time getting to your important files.