If you have Windows XP with service pack 2 installed, you will be automatically notified by the security center if the
windows firewall is not on. Also, you will be notified whenever a program on your computer tries to access the www and
accordingly you can block/unblock the programs access to the internet.
If you dont have Windows XP SP2, i would stronly recommend you to switch on automatic updates so that you receive
service pack 2 through automatic updates. Meanwhile you can right click your internet connection in the 'Network
connections' folder in the control panel and switch to the advanced and see if the windows firewall is active for the
specific connection or not.