Microsoft Windows® XP Professional and Windows XP Home Edition both include a built in firewall called the Internet Connection Firewall (ICF). The ICF is a software firewall, which means it is installed on the computer. Read on to learn how to turn on ICF. Remember, ICF is only available in Windows XP Home and Windows XP Professional.
If you have Windows XP on your computer, you just need to turn ICF on to use Internet Connection Firewall. Here's how:
Turning on the ICF will increase your computer's security defenses against threats online. You can continue to improve your computer's security by keeping your software up to date and maintaining a current antivirus software subscription.
(source Microsoft)