From what I understand, Xp's firewall controls and protects against incoming but not outgoing. So, take for example, something has slipped through and attached itself to your operating system ... it could send out information without your knowledge.
Top rated, good, free firewalls that do offer the best protection are Sygate, Outpost, Kerio, and ZoneAlarm. Zonealarm is very popular but my experiences with it have not been good. It needs a lot of user input and can be a real pain. Shields Up is a good place to go for more info on firewalls. Here are some helpful links.
http://www.windowsitpro.com/Windows/...293/42293.html
http://www.huitema.net/sp2-firewall.asp
https://www.grc.com/x/ne.dll?bh0bkyd2