Internet Connection Firewall
By: Arie SlobWindows now has some firewall capabilities build into the OS. When you install Windows XP, the Internet connection you set up during the OOBE phase will be protected by the Internet Connection Firewall (ICF).
When you set up a new connection, you'll need to enable the ICF yourself. Right-click the connection and choose Properties. The ICF is listed on the Advanced tab. When you enable ICF, at the bottom of the Advanced tab, the Settings button becomes active. Pressing it will bring up the Advanced Settings window, where you can customize the ICF to some extent.
Also note that ICF only blocks incoming traffic. It will not monitor any outgoing traffic from your system. For that you'll need a real firewall.
If you want better firewall capabilities, I would suggest Comodo Firewall, which is free for home users.
If you are having connection problems on your internal network, check to make sure that ICF isn't enabled on that connection.