Any good reason to have firewall?

I have been in trouble with VMWare so many times, that even now, when I'm deeply under pressure, I've started investigation. So, main question: how to deploy virtual machines host on fresh PC where firewall is used.
The only thing I know is that firewalls are special tools to control and restrict incomming and outgoing traffic within local network and in Internet. Before that I have used it rarely. That's some kind of phylosophical question: Should I it be used on home PC?
It is said that there are very manu malicious things downloaded to local PC from internet. But how can tool that requests if application lsass.exe can access address 198.162.1.4 port 443.
Well done! Challenging question. And what if I say no? Where will I get refuse next time?
Firewalls are all user-unfriendly. To be honest, they are not for common user. Let system administrators have deal with them. Home PC are buried under junk soft normally because their masters want to download this and that. Strange, how some people can proud with their "downloading". Oh, man, stop downloading that suxx video - you have no time even to see worth things!

So, let's come back to my investigation. So I have downloaded version of .PCTools firewall+. Lite and precious thing free of charge. The newest version has some interesting features:
They provide 2 modes of creating rules for the firewall: normal user and expert user.
The latter means that user will be requested for each attempt to connect distinct port and more presice rules will be created. Before that I have tried to use ISA, Kerio, McAfee and this soft looks quite good.
Another advantage is predifined rules that are spread over PC Tools which allow user fast customization with less amount of stupid questions.
So I have installed PC Tools Firewall on my laptop (Acer TravelMate 2700) with Windows XP SP2. Before that I've installed VMWare workstation 5.5. PC Tools install so called PCTools Driver that apparently used to track hardware activity. To my surprise those drivers are conflicting with VMWare drivers. PC Tools refused to work when 4 Windows Services belonged to VMWare are working. That's suxx! I knew that at my job people also have headache using VMWare and firewall. And even worse, that PC Tools doesn't output any presice info why did it fail! Only message "Failed to initialize firewall drivers, please try to reboot your machine. If the problem persists please contact PC Tools support". This case I have posted to PCTools forum.
Another problem I've encountered and also could not resolve is that Firewall don't allow to lock workstation. This is not so critical for me, since I don't lock my PC, but this might grow up into a great impediment for the team.
I have anyway registered my copy of PCTools firewall. I hope those guys won't left my suggestions without answer.

Although firewall doesn't make much distortion to booting process some of booting process are slowdowned. And I have measurements for Microsoft BootVis. After installing Office, Firewall, NetBeans and Visual Studio loading windows services take twice longer time then before.
$Sic transit gloria mundi!