If you have a hardware firewall, and are running Windows XP SP1, then dual firewalls are redundant, as hardware firewalls and Windows firewall are both designed to stop incoming attacks.
Windows XP Service Pack 2 will introduce a firewall that also protects you by monitoring out bound traffic (trojans, virus's and the like), so that you're sure that the information that you're sending out on the internet is what you actually intend to.