XP's firewall doesn't provide outbound protection, so I would advise a firewall that does offer this protection. Have you rebooted since adding to XP firewall, although I can't see how it would block the web shield.
Any malware that manages to get past your defences will have free reign to connect to the internet to either download more of the same, pass your personal data (user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.
- Zone Alarm free
http://www.zonelabs.com works fine with avast and has a reasonably friendly user interface. There are others, Comodo, Jetico, Sunbelt Kerio, etc.
See some firewall tests for comparison, some are freeware but many are paid for versions
http://www.firewallleaktester.com/tests.php.
Have (or did) you have another AV installed in this system, if so what and how did you get rid of it ?
What Operating System are you using ?