The XP firewall does not block any outgoing processes. If you have a trojan, the XP firewall will do nothing to stop it. It relies on stopping one coming in (maybe) and an antivirus program (not supplied) keeping one off your disk.
Norton will stop both incoming and outgoing processes.
You should find that Norton will automatically disable the Windows firewall when you install it.If you find that Norton does cause problems (If you have just bought the firewall then it shouldn't.) ZoneAlarm is a good free alternative and also much better than the Windows one.