XP's own firewall only partially prevent programmes etc from snooping to your computer and is a one way street... I use ZoneAlarm Pro.. it does it both ways very well and works with a shared connection
I like Kerio best but Outpost & Sygate are all very good. I found Look'n'stop surprisingly effective for something so small, but a pig to reconfigure to plug a few holes in the rules & Omniquad I don't know.
You will NOT get hacked on a home computer. Hackers are not interested in the utter drivel that is on mine and everyone else's Firewalls??.they are useful in stopping Trojans dialling out but to be honest, if someone wanted to put a dialler on a computer it would not be rocket science. There are at least 5 programmes that can by-pass firewalls, 'TooLeaky' having the Gibsonmeisters' grudgingly awarded seal of entry. The Cult of the Dead Cows' Back Orifice, cheekily named after Microsoft's' Back Office, could easily be put on a target computer, if one was really trying and the firewall would still be asleep. However, like my computer, most home computers contain utter drivel which is important to the owner but naff all use to the great unwashed. Bank and credit card details can be culled much easier than rooting through turgid files on a home computer. Hacking is not about breaking into home computers, it is about getting onto networks using passwords.
The 'alerts/attacks' are merely computers on the net asking your computer if it is still connected, these queries are called handshakes. When you are connected to the net you could be going through many servers and routers. This occurs in a millisecond, so you do not notice and all these routers and servers need to know that your computer is receiving, so that they can send images and WebPages to your IP, which is, in effect, your mailbox or receiving station. When on the Net you can pass through more than 20 servers and routers and they could all be handshaking your computer at short intervals. You will notice many of the 'alerts' come from Telecoms, which should come as no surprise as they own most of the routers etc.
If you were being hacked, I can assure you that you would not get an alert.
Turn off all the alert buttons/warnings on your firewall safe in the knowledge that you will not be hacked. If it is any consolation, I do not use a firewall on both my computers and I am on BB. I use a firewall on my laptop only because I take it to clients...so out of respect for their fears.......so go for a free one such as Outpost, which I feel is the best of the bunch, as it uses little resources and works quietly in the background.