XP's firewall is called 'Internet Connection Firewall' and to enable or disable Internet Connection Firewall
Open Network Connections (Click Start, click Control Panel, and then doubleclick Network Connections.)
Click the Dialup, LAN or HighSpeed Internet connection that you want to protect, and then, under Network Tasks, click Change settings of this connection.
On the Advanced tab, under Internet Connection Firewall, select one of the following:
To enable Internet Connection Firewall (ICF), select the Protect my computer and network by limiting or preventing access to this computer from the Internet check box.
To disable Internet Connection Firewall, clear the Protect my computer and network by limiting or preventing access to this computer from the Internet check box. This disables the firewall, your computer and network are then vulnerable to intrusions.
You may find that you are better off using another instead such as ZoneAlarm because ICF does the job but is not brilliant.
Ian, click on tools at the top of the page, then click on internet options, then click on connections then settings if your right this menu should be your server settings. now click on properties then click advanced. This should be the fire wall menu.
I run the xp fire wall and when I tested it my connection and ports were not found so from that I assume it works.