As ORAC pointed out, XP's firewall does not allow you to control any outbound connections. This is important as many of the viruses and other malware, once on your computer, will either start emailing and/or attacking other computers, or try to download more software to yours. If more people had had a proper firewall for the last couple of years, most of the viruses which were in the news wouldn't have spread as far or caused as much trouble.
goates