built in firewall of winxp is good... for incoming threats. pero its offers zero protection against outgoing threats. so for example, may nainstall kang program sa pc mo then pag click mo sa exe file, nag connect sya sa isang website na may virus/trojan etc, infected ka pa rin since windows firewall will not blocked the site since it considers the site "safe"
so its better if you install a third party firewall
marami naman free dyan na ok ang protection (sygate, kerio, zone alarm)