There is a bit of misunderstanding as of what the role of the firewall is. I believed some of these comments stated before, but realize there is a bit of confusion.
First off, XP firewall does not offer outgoing protection. It is much easier for a hacker to compromise a system running the XP ICF (Internet Configuration Firewall) than a credible software firewall (Sygate/ZA/Outpost..etc). However, ICF beats nothing.
Also you should DISABLE ICF if your running a 3rd party firewall, even Microsoft stated it in a transcript. You are draining unecessary computer power to run a program that is doing nothing because the 3rd party firewall would offer the equivalent plus significantly more protection. (Sygate for example will do the exact same thing as ICF such as ignoring pings, echo requests, etc..) VISIT for this transcript --- http://www.microsoft.com/windowsxp/expertzone/chats/transcripts/04december08.mspx
Here is a quote from the above webpage.
Joe_MSFT (Expert):
"Q: If a have a 3rd party Firewall should I disable the Windows firewall or leave them both running?
A: The recommendation is that you disable Windows Firewall if a third-party firewall product is installed."
I also found a site on google that answered it very clearly about firewall information... read it...
http://ask-leo.com/so_do_i_need_sp2s_windows_firewall_or_not.html
Other firewalls include Zone Alarm and Kerio. I found that Zone Alarm is great for novice (Sygate is also a great firewall) and Kerio is great for networking because it'll ask for permission. Just don't run two firewalls at once! And it is probably in your best interest to download Sygate to protect yourself or another firewall.
You can read windows firewall comments here http://www.microsoft.com/windowsxp/using/networking/learnmore/icf.mspx
