Yes Windows XP does come with its own firewall hope this helps you:
To enable or disable Internet Connection Firewall
1.. Open Network Connections
2.. Click the Dial-up, LAN or High-Speed Internet connection that you want
to protect, and then, under Network Tasks, click Change settings of this
connection.
3.. On the Advanced tab, under Internet Connection Firewall, select one of
the following:
a.. To enable Internet Connection Firewall (ICF), select the Protect my
computer and network by limiting or preventing access to this computer from
the Internet check box.
b.. To disable Internet Connection Firewall, clear the Protect my
computer and network by limiting or preventing access to this computer from
the Internet check box.
Notes
a.. To open Network Connections, click Start, click Control Panel, and
then double-click Network Connections.
b.. You must be logged on as a computer administrator to complete this
procedure.
c.. If you clear the Protect my computer and network by limiting or
preventing access to this computer from the Internet check box, the firewall
on your computer is disabled, and your network is vulnerable to intrusions.
d.. You should not enable Internet Connection Firewall on virtual private
networking (VPN) connections or on client computers because ICF will
interfere with file and printer sharing.
e.. ICF cannot be enabled on the private connections of the Internet
Connection Sharing host computer.
f.. Internet Connection Sharing, Internet Connection Firewall, Discovery
and Control, and Network Bridge are not available on Windows XP 64-Bit
Edition.
