PeerGuardian is good but older, check out PeerBlock as well. I also posted PeerBlock. This is built off the Peerguardian code and is built for the newer versions of Windows.

PeerGuardian 2
PeerGuardian 2 is Phoenix Labs’ premier IP blocker for Windows. PeerGuardian 2 integrates support for multiple lists, list editing, automatic updates, and blocking all of IPv4 (TCP, UDP, ICMP, etc), making it the safest and easiest way to protect your privacy on P2P.

More Info and Download Page:
Code:
http://phoenixlabs.org/pg2/