No it doesn't have a firewall and you should enable the windows firewall if you have it until such times as you get a third party firewall that provides outbound protection which XPs firewall doesn't and not does the Network Shield (which you shouldn't confuse with a firewall).
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 (sensitive or otherwise, 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, Sunbelt Kerio, Jetico, etc.
See some firewall tests for comparison, some are freeware but many are paid for versions
http://www.firewallleaktester.com/tests.php. Also see
http://www.thefreecountry.com/security/firewalls.shtml