Just for grins (as you say), I did this. I logged on as admin, and
the firewall was OFF. I hit "manage firewall" from the security
center, and turned it on. Then I logged off. I immediately logged
back on again, and hit the startbar icon for the security center as
soon as it appeared (partway through booting the desktop). The
firewall came up labelled ON, then immediately switched to OFF! Now
riddle me this one, Mr. Holmes!
Okay, this is what I was wondering -- whether the setting would "stick" for
your account at all. Worry about other accounts later. That the firewall
tried to run is a good sign. That it was then turned off, is not.
Not limited to the following but damage to system files or malware could be
causing this. Are other settings not sticking for your account? If no, this
is a common symptom seen with corrupt or infested accounts. Check the
system thoroughly for virus or other malware. Clean if found.
Determine if this is limited to your account only: Create a new account
with administrator status. Log on to it. Try setting the firewall. Restart
and log on again to see if the firewall remains in place. If the firewall
still fails, you'll need to look further:
How to perform advanced clean-boot troubleshooting in Windows XP
http://support.microsoft.com/default.aspx?scid=kb;en-us;316434
Troubleshooting Windows Firewall settings in Windows XP Service Pack 2
http://support.microsoft.com/kb/875357/
Temporary help: MVP Kelly Theriot has a script that corrects registry
entries that enable/disable the saving of a user's settings. After a system
is cleaned of malware, the registry settings may still need fixing and
that's what her .REG file does:
"Windows XP Doesn't Save User Settings" (line 30, left hand side)
http://www.kellys-korner-xp.com/xp_tweaks.htm
Yes - this is the built-in firewall with default settings. I don't
even have another one resident on the machine, although I'm seriously
considering it, based on how this one is (mis-)behaving.
Whether installing a new firewall will help might depend on why it's not
working. On the other hand, a nice plus to a third party firewall is that
it monitors outgoing traffic as well as incoming. XP's firewall monitors
incoming only.