It looks to me like Agnitum's Outpost Firewall Pro is the best of the bunch that will support Win9x/WinMe. (See the reviews below).

http://personal-firewall-software-review.toptenreviews.com/

Outpost costs $39.95 to download, plus another $9.95 if you want the CD.

However, you can download the 30-day, pro version for free and then convert over to the limited-features, free version, which might still be enough protection. (This is a guess. I haven't yet done the download or any testing.)

I poked around in the support forum for Outpost, and the questions raised were pointed and fairly technical, but they were answered with candor and completeness, I thought. So, though the product is most definitely the work of Russian programmers, it looks solid.

Caveat emptor (as always).