If you had a house where the press had a new report every week saying how, yet another, trick had been found to open the front door lock without a key, would you fit additional one built by the same people?
Gibson Research:
The Windows XP built-in firewall:
Just so you know, WinXP's built-in firewall does not attempt to manage or restrict outbound connections at all. It appears to be a useful firewall for hiding the machine from the Internet (it has "stealth mode" unsolicited packet handling), but you will still need to use a good third-party personal firewall if you wish to manage and control outbound connections from your system."