I would say you need to look at a third party firewall to protect against unauthorised outbound connections. Whilst the windows XP firewall is usually good at keeping your ports stealthed (hidden) it provides no outbound protection and you should consider a third party firewall.

Any malware that manages to get past your defences will have free reign to connect to the internet to either download more of the same, pass your personal data (sensitive or otherwise, user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.