I love comodo. Much better than windows firewall and more customizable. Zone alarm would be a 2nd favorite and usually ranked even with comodo.
However that's not really what you need to keep someone from stealing your internet. What you need to do is turn on your router's security. You can not only password your connection but also make it not even appear unless someone knows the name. Most router security features won't be broken by the average person, especially with an xbox, unless they have physical access to your router to reset it.