Yeah, trust me when I say that the Windows XP firewall even though it seems safe, I'm sure itsn't as safe as other free alternatives to protect yourself.
Get hold of Zone Alarm like Technoman says. It's easy to set up, and only needs updates once every month or so, which you just run and it'll ugrade.
The program controls are also rather easy to get used to, just pressing Allow, Or Block for connections of programs when it asks. You can then manually set these up in the options of the program. It is definitley a great program and should be tried
Hope this helps