well, as Windows Firewall only block "outbound" (communication from your computer) and not "inbound" (communication to your computer) as well, it would be alot safer to use a "third party" firewall. There are plenty of free firewalls availible on the net, but I prefer ZoneAlarm (click here). In fact, I liked it that much, that I now use the "Professional" version, which just has things like "OS Firewall" (asks you if you wish to allow a program on your system to, for example, load on startup) and Anti-Spyware.
The XP firewall basically is shite. It seems Microsoft paid very liitle heed to actually creating a decent firewall in the all singing all dancing greatest thing since sliced bread operating system. Disable it and at least get the zonealarm free download one.Looks like plenty of other people have already suggested the same thing re - the free download, so there's no need to put the link up again.
BTW - there aren't many differences between the full and free versions, but as Sunbelt is promoting it, it's only a $15 download. The download will revert to the free spec if you don't bother to pay for it.
In my opinion there are two reviewers of Anti Virus / Firewalls that are worth looking at. Virus Bulletin click here and ICSA click here and "The Shield" doesn't show up on either and as I've never heard of 6 Star reviews, would be loathe to put The shield on my PC, let alone pay for it.