IFTB - I'm not in front of an XP machine right now so I can't confirm, but I think it's under either the internet options or the network control panels. Look for a security tab in one of the above. You could also search Windows XP's help for "Internet Connection Firewall."
On my computer the default was off for a clean installation of WindowsXP Professional. I think this will change with the new XP Service Pack coming out this summer when Microsoft will default it to be on. This should help slow viruses and save users from themselves.
goates
PS - Go
here and it should explain how to get to the built in firewall.