Firewall should be up and running by default, Next install your Antivirus Software before connecting to the Internet, then go online and update your AV. Then go to Windows Update site and D/L and install all updates. Don't forget you may need to install/update drivers, for Motherboard, to get Online, Sound, Graphics etc.
I would install a Security Suite if you have one, 'cos XP firewall isn't so good.
There is 1 other thing I would do.. Go to Black Viper Site click here and disable any services that are not needed (like remote registry) as these could pose a security risk if you don't use 'em. Hope this is of some help.
Anti-Virus yes,If you can download one for your friend and put it on a disc,so that you can run it before going on to the Internet.Windows Firewall should automatically start but check first,You can always download another at a later date.Then connect to Internet you may be prompted to run your Anti-Virus again,And then download all your updates,Make sure the Anti-Virus is updated as soon as you get internet connection.