Microsoft included a firewall in Windows XP to keep you safe from hackers while you cruise the Internet. How do you know that the Internet Connection Firewall is on? Go to the Control Panel and double-click the Network Connections icon. In the dial-up, DSL, or cable connection dialog that appears, check the Status column.

If your firewall is on, it should say Fire walled. You can turn the firewall off with the check box (see picture 1), but unless you are going to add a third party firewall (I personally use Sygate) for heightened security, it's best to leave it on.

Picture 1