Hi

You can look on http://forums.microsoft.com/TechNet/ShowPost.aspx?PostID=800882&SiteID=17 post to see a list of compatible firewall, antivirus and anti-spyware solutions.
Keep in mind though, that as much as a firewall may protect your IP from hacker scans, it will not hide your IP when connecting or using other services or webpages. A legitimate server will always inquire your IP and it will allow or deny connection using that IP. For your particular question, chatting services provide IP hiding or not. If you use a firewall, that doesn;t mean your IP will not show if that specific service hasn't enforced IP hidding.
Being anonimous on the internet is impossible. You can hope for setting a low profile by using a good hardware router and a software firewall. But remember, each time you access a given site, that site automatically "reads" your IP. It's the way things have always worked and you cannot change that.