Hello there
Kerio Personal Firewall 2.1.5 works great under 98, and there still are not so many security breachs in it.
I believe version 4 (now developped by Sunbelt) also works under 9x, though I'm not quite sure about it. It's free for personal use, even though some features get disabled after 30 days if you don't register.
I prefer good old version 2.1.5 though, I like the interface better.