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  1. Control Panel, Windows Firewall, if you have that section in control panel then you have it available. You should check the Control Panel, Security Center, which will tell you which firewall you have and if it is active.

  2. Personally No I don’t think it is enough.
    Windows XP’s firewall is better than no firewall but, it lulls you into a false sense of protection, it doesn’t provide outbound protection.
    I would however, say you need to look at a third party firewall to protect against unauthorised outbound connections.
    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.

You should create a folder outside My Documents (which is a strange folder, different from a regular folder), where it is regular folder, C:\HiJackThis would do or a name and location of your choice.

I have no idea what it is either and can’t make that decision for you, you will have to investigate using google, etc. but you don’t want to get rid of something you need, My major concern if it is a legit application why is it in a temp folder.

See http://www.processlibrary.com/directory/files/uiucu