To get to TCP/IP filtering you goto Network Connections, right click on your NIC, click on Properties, highlight TCP/IP, click on Properties, click on Advanced, click on the Options tab, highlight TCP/IP Filtering, and then press Properties.
There are a few ways to install your own firewall that are cheap or free. One option is to use a software program like TinyWall. This program will allow you to build a firewall for your computer using a simple interface. Another choice is to use a router that has a built-in firewall. Many routers nowadays come with this feature, so it's definitely worth checking out. As for backing up your sites, you can either do it manually or use a service like VaultPress.