I share Lukor's opinion.
You should be perfectly safe with just SP2 firewall.
Only problem is you can never be sure if something is going out, so that is why we who use other software firewalls often recommend the neccessity of outbound controlling firewall.
That is for us paranoids, lol
But I have not found much, Realplayer going out when not needed, windows Media Player too.
Only when I installed Kazaa 2 years ago, did I notice something more aggressive, but even that traffic was just spyware.
With safe habits, installing SpywareBlaster and sometimes running some free antispyware program on demand scan, besides Avast resident, your computer should stay clean.