Are you talking about incoming ports, or outgoing? And if incoming, are you talking about password protecting access to the port from outside, or are you talking about password-protecting the ability for a local process to listen on the port?
Ultimately, Windows is not a very good firewalling platform, and it is really best (both from a security perspective, and in terms of how easy it is to get it to do what you need) to have an external firewall. However, depending on your needs, it may be possible to kludge something together on Windows. The firewall built into Windows XP may be able to accomplish some of what you want, depending on what it is that you want.
If my answer seems vague, it is because your question seems vague, so I don't really know how to answer in detail.
Sanity? Oh, yeah, I've got all kinds
of sanity. In fact, I've developed whole new
kinds of sanity. You can just call me "Mister Sanity"
. Why, I've got so much sanity it's driving me crazy.