... just a word on the Windows XP firewall.... for a free (included) product, it's not THAT bad, but it's not good either. If it actually cost money to buy seperately, then it wouldn't even be worth a dime.
Keep in mind... you can't customize anything, and it only blocks INBOUND traffic, NOT outbound. So, anything on your computer will be able to get out into the world once it gets in.
Go for ZoneAlarm, it's your best bet.