The Windows XP Firewall
Windows XP comes with a built-in firewall. A firewall protects your computer against incoming packets that could compromise security to your system, and also prevent data from leaving your computer that you don't authorize, such as personal information and passwords.
I personally leave the firewall up. The OS takes care of known traffic such as games and normal internet traffic, so there's really no reason to turn it off. If you find that people are not able to connect to your system's web or FTP server, you may have to allow certain ports to be open.
In the "Control Panels", double-click on "Network Connections". Your main connection should be listed there as "Enabled, Firewalled".
Double-click it to get the Connection Status and press the "Properties" button. There you can turn on the ports you need, and add ports for other applications. Ports I added for Timbuktu are shown here.