Windows XP comes with its on built in firewall. It's not as effective
as one of the commercially available firewalls, but it's a start and
you should use it if you don't have a commercial firewall protecting
your computer while you are surfing the web and especially if you have
a connection like cable or DSL that is connected all the time whether
you are surfing or not.

To turn on the Windows XP firewall go to view network connections
which you can get to various ways, (If your not sure then click on
start, control panel, network and internet connections, my network
connections, view network connections) then find your internet
connection (if you have more than one you will need to do this for
each of them) and right click, go to properties, go to advanced, check
the box by protect my computer and network by limiting and preventing
access to this computer from the internet.
More tips at http://thriftmeister.com/computer.htm