It has a built in "hardware" firewall that is set to some default settings, plus it also has additional advanced firewall settings if you want to use them.
Manual here, which one according to the revision on the sticker on the router:
If you need more specific help or information, we need to know which revision you have so that we know which manual to look at.
You'll find the URL (192.xxx.x.x), and the default user name and password you need to access the router's configuration pages in that.
Note that the password, and possibly the user name, is probably case specfic - e.g. if the manual says type: admin, ADMIN or any mix of lower and upper case characters may not work.
There may be a limited number of times you can try a password, or possibly a user name - e.g. three - then you may not be allowed to try anymore - you may get a message along those lines, or no message but further attempts just won't work, even if they are correct, because they are ignored by the router's software. You may need to close your browser, or go somewhere else on the web in your browser, then try again.
To exit looking at the configuration pages, simply close your browser, or go somewhere else on the web in your browser.
If the router has a custom user name and/or password that someone has installed, you won't be able to access the router's configuration if you don't know it/them - in that case you can follow the instructions to reset the router to defaults, then the default user name and password will work.
If that's your case and you don't want to set or reset anything from the way it is now (there likely are custom wireless related settings you wouldn't want set to defaults, e.g. a WEP encryption key that XP SP2 requires would be erased), you can find out if the hardware firewall is working as is by following the instructions in the last paragraph of response 2.
Note that some browser add-ons (e.g. some Google ones) will automatically add www to the beginning of the 192.xxx.x.x url after you type it - you don't want that and you won't be able to get into the router's configuration if something does that - if you can't get it to not add www, you must disable the browser add-on.