Go to Control Panel\Network Connection and right-click on any connections there, then click properties. Under the Advanced tab, you have the option to turn on XP's built-in firewall. If you are a typical user that doesn't do much beyond e-mail, web-browsing, and word-processing, this is perfect for you.

If you are a gamer or use many programs, especially file-sharing programs, you will be better off with something that gives you more control and is easier to turn off. My personal favorite is Zone Alarm.

Note that you should turn this off before playing any moderately new games, for both performance and networking issues. There are other good software firewalls that I haven't listed here simply because Zone Alarm is my personal favorite. Feel free to experiment, however just as with antivirus programs, you should never run multiple firewall programs at the same time or even have them installed at the same time.

If you have a router, which you almost surely do if you have several computers on the same Internet connection or a broadband connection, you will have a hardware firewall. A hardware firewall is in many ways better than a software firewall, and for many people it may eliminate the need for one entirely. It differs in that you have very little control. You can't stop programs on your computer from accessing the Internet, which you can do with a software firewall. At the same time, it doesn't take up any RAM or processing power of your computer. I recommend most users have both, but more experienced users can do quite well without a software firewall.