Windows Firewall monitors and restricts information that travels between your computer and a network or the Internet and provides a line of defense against someone who might try to access your computer from outside the Windows Firewall without your permission.
If you have installed Windows XP Service Pack 2 (SP2), then Windows Firewall is probably already turned on by default. If not then you can go to Start>Control Panel>Windows Firewall and see your settings and turn them on if required.
When someone on the Internet or on a network tries to connect to your computer via an unsolicited request, Windows Firewall blocks the connection. It asks for your permission to block or unblock certain connection requests and can also create a security log, if you want one, that records successful and unsuccessful attempts to connect to your computer.
Remember it does not stop you from opening e-mail with dangerous attachments or blocking spam or unsolicited e-mail from appearing in your inbox. Though it helps to block computer viruses and worms from reaching your computer, it does not detect or disable computer viruses and worms if they are already on your computer. So do not turn off your antivirus program.
Earlier I used the free ZoneAlarm Firewall which worked very well. But I have switched to the Windows firewall since its release. A firewall is a must to protect your computer on a network or internet and Windows XP-SP2 gives you the advantage of an inbuilt Windows firewall, and it is very effective too.