|Absolutely you should have a firewall on your computer. The one in Windows XP is pretty poor though because only only protects from incoming connects. You should consider getting either Comodo Firewall Free or the free copy of Zone Alarm. Both provide 2-way protection, as do Windows Vista & 7.|
Comodo can be a little annoying for a few weeks as it learns what programs you trust, but it's also very powerful and has a lot of customization options. During installation, make sure you un-check the option to install the supplement Comodo anti-virus. Also make sure you disable the Windows Firewall because you should only have 1 firewall running at a time.
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