Don't think it's XP related - I use Win 2K and Norton Internet Security 2002 - to disable it temporarily there is an icon in the bottom right part of the desktop - right click and select disable does it.
I guess to avoid doing that I would need to add the
http://etc address to the allow/disallow table somewhere in NIS, but as I said I never go round to learning to do that.
In XP you have a built-in firewall which you can disable by rightclicking in the dial-up or network icon (as relevant) in the network section of control panel, choosing the last tab and unchecking the firewall box. I suspect there must be a way of configuring the XP firewall to a certain extent though.
Cheers