"A firewall is a security system that acts as a protective boundary between a network and the outside world. Windows XP includes Internet Connection Firewall (ICF) software you can use to restrict what information is communicated between the Internet and your home or small office network. ICF also protects a single computer connected to the Internet with a cable modem, a DSL modem, or a dial-up modem." In addition to running anti-virus software, firewall reduces the risk of someone gaining access to your computer.
If you do not want to buy a professional firewall, you can enable the built-in firewall in Windows XP (Home and Professional).
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Windows XP users

1. Go to Start Menu and click on Control Panel.
2. Click on Network and Internet Connections.
3. Click on Network Connection.
4. Right click on the name of your connection (for x example: Local Area Connection).
5. Click on Properties.
6. Click on the Advanced Tab.
7. Check the box marked "Internet Connection Firewall."
8. Click OK.