Can I clarify something here?
If your XP Home PC can get straight to the internet and is not protected by the firewall, and it is on the same LAN as your other PCs, then surely ALL your other PCs are also exposed to the internet without proper firewall protection. Logging on to the network on your other PCs cannot of itself miraculously firewall those PCs from the internet. The firewall should be at the boundary of your network and is either protecting ALL PCs on the LAN or NONE of them, but NOT only some of them !!!
Unless your server/firewall machine has two network devices, one connected to the LAN and the other to the internet, and sitting on different IP networks, there can be no effective firewalling. If your internet access is via a shared modem connection then I think you do not have a working firewall. If your LAN accesses the internet via a router or router/modem, then the firewall should be in the router and if so will also be protecting your XP Home PC, regardless of your internal LAN configuration.