Use an Internet Firewall
Operating System: Windows XP
Last Updated: October 9, 2003
A firewall is a piece of software or hardware that creates a protective barrier between your computer and potentially harmful content on the Internet. It helps guard your computer against hackers and many computer viruses and worms.
Windows® XP includes the Internet Connection Firewall, which you can turn on by following the steps below.
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Click Start, and then click Control Panel.
Click Network and Internet Connections.
Click Network and Internet Connections
Click Network Connections.
Click Network Connections
Note: If Network and Internet Connections is not visible, click Switch to Category View.
Switch to Category View
Highlight a connection that you want to help protect, and then click Change settings of this connection.
Change connection settings
Alternatively, right-click the connection, and click Properties
Click Advanced and then select Protect my computer and network by limiting or preventing access to this computer from the Internet.
Select Protect my computer and network by limiting or preventing access to this computer from the Internet to help protect your computer and network
Click OK.
The Windows XP Internet Connection Firewall can block useful tasks such as sharing files or printers through a network, transferring files in applications (e.g., instant messaging), or hosting multiplayer games. Nonetheless, Microsoft recommends that you use a firewall to help protect your computer.
If you turn on the Internet Connection Firewall and find that you can't perform tasks you normally do.
for more:
http://www.microsoft.com/security/protect/windowsxp/firewall.asp