Windows XP comes with a built-in firewall.
To install it, follow these steps:
1. Open the Start menu, right-click on My Network Places, and choose Properties.
The Internet is a huge network -- it's designed for computers to talk to each other.
That's why it's important to make sure that only the friendly computers do the
talking.
2. Right-click on the connection you want to protect, and choose Properties.
If you're using a dial-up account, for instance, right-click on that icon. If you're
using a network in your home or office, right-click on the Local Area Connection.
Either way, choose Properties.
3. Click the Advanced tab and activate the firewall.
Click the box to activate the Windows XP firewall.
for further information:-
http://support.microsoft.com/default.aspx?kbid=843090&product=windowsxpsp2
Description of the Windows Firewall feature in Windows XP Service Pack 2
http://support.microsoft.com/?kbid=283673
HOW TO: Enable or Disable Internet Connection Firewall in Windows XP
