For the perpetually paranoid, the windows inbuilt firewall has very limited functionality as you cannot prevent already installed programs from accessing the internet as it only protects from inbound traffic. I use ZA Pro with combined anti-virus on my laptop and have had no problems at all with any of the programs I use.
I have also used the recommended Sygate personal firewall and found this also to be very good.
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This link may be of use to decide on the relative merits of the inbuilt XP firewall
http://www.brienposey.com/kb/windows_xp_firewall.asp. This is not definitive but gives a realistic appraisal of its effectiveness in my view.