A firewall, as the term suggests, is a barrier from you and the Internet. If you don´t use one, anybody (in theory) could see your system, your files, etc.
I do recommend a use of a firewall. At least, you may activate XP Internal firewall (at Advanced option of the connection).

You can take a look at www.downloads.com and seach for more options. Personally, ZoneAlarm will be simple and efficient for you. But there are others very good: Sygate Personal Firewall, for instance. Kerio I do not recommend anymore (it was a good one). See links for download here. :wink: