Forget the XP firewall, and get a real (two-way) firewall.
The latest FREE firewall from Zone Alarm is compatible with SP2.
If you have never had a firewall, be aware that you need to "train" them.
By default they block nearly everything trying to go out (not XP firewall),
then popup to alert you and then you need to click yes or no and either this
time only or always. You may also need to add certains web addresses to the
list of good guys for some products to work. For example, with Zone Alarm I
had to add the web address for the symantec corparation to get my Norton
Antivirus updates.
Still, in today's world, you do want a firewall, and after the initial
setup, they are well worth the trouble, compared to the trouble you can get
if you do not have one. For example, I had a friend without one that had a
dialer program creep onto his PC. One evening, just after midnight, it
placed a call to some pay-by-the minute porn site in Africa. The bill was
over $60. Fortunately the phone company was well aware of that scam and
removed the charges. In aditionato a firewall, he now also uses Spybot
Search & Destroy (free) to capture/kill such programs.