most routers have a built in firewall

to turn on the firewall in xp

go to start

click on control panel

on the left see if it says classic view

if it does click on that

if it doesn't dont worry about it

look for local area connection

click on that

look for the local area connection for your specific connection like wireless built in nic or whatnot.

right click on it

click on properties

click on the advanced tab

see if the firewall is checked click on it if not then click on apply

it is a good idea to reboot and reset modem for settings to take effect and to get new ip information though sometimes it is unnecesssary