Jamin, XP comes with a built-in firewall, simply called "Internet Connection Firewall," but you need to turn it on before you can use it. Go to Start> Search and do one on "firewall." It'll tell you more than I can, and even give you links to turning it on.
However, I use a hardware firewall here, so I've never actually tested it. You wanna be a guinea pig and tell us how it goes?
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