XPSP2 comes with a built-in firewall. Although it doesn't have any outbound protection, the inbound protection including local port 135 is decent. However, if you install another firewall, you have to disable the built-in firewall to avoid conflicts. Therefore, even if you have XPSP2, if you install a third party firewall, your protection depends on it.
Comodo, ZoneAlarm, Kerio, Jetico and Outpost are all well-reputed firewalls. However, if you address yourself as a beginner and want outbound protection, then, ZoneAlarm and Comodo would be good choices.