Windows XP incorporates its own firewall. It's called "Internet Connection Firewall" (ICF) for plain vanilla XP, and "Windows Firewall" for SP2. Both check incoming replies -- from Web sites, email servers, etc. -- against outgoing requests. They only allow the ones that are genuine responses to go on to your programs.
These firewalls are both stealthy, which means they just play dead when they get a incoming request or reply that does not match an outgoing request. That makes your computer more or less invisible on the Internet.
Both are fairly effective firewalls, but they're also a primary hacking target because they're so ubiquitous. There are indications that "Windows Firewall" is more susceptible to attack (being disabled) than third-party firewalls.
Go to the section below for ICF if you do not have SP2 installed.
Enable or disable Windows Firewall from the new Security Center in Windows XP - SP2. [Start > Control Panel > Security Center] You'll find a link -- Windows Firewall -- down at the bottom of the Security Center window. That takes you to the dialog box for managing Windows Firewall.
Plain Windows XP also provides good instructions for enabling or disabling ICF: Click "Start" > "Help and Support" > and then enter "firewall" in the Search box.
Then click the green arrow > and pick "Enable or disable Internet Connection Firewall" in the search results. You may want to click the "Print" button to get a copy of the instructions that appear. Now you can enable the firewall
Or, you can follow my instructions here.