The Windows Security center isn't a firewall either but a 'reporting' center which monitors if your firewall, antivirus and windows updates are enabled and running, etc.
So I presume you are using the default windows firewall.
Whilst the windows XP firewall is usually good at keeping your ports stealthed (hidden) it provides no outbound protection and you should consider a third party firewall.
Many forum users are using these:
- PC Tools Firewall seems to have the least user headaches as it doesn't seem to be constantly asking the user questions about this and that.
- Online Armor for the most parts fine but it has caused some users grief after avast program updates and that is something you have to watch out for.
- Comodo is now a suite and you have to do a custom install so as not to install the antivirus element (or use the add remove programs to remove the AV element if already installed), of all the firewalls listed this seems to be the noisiest in asking questions, depending on settings and elements used, so it could be daunting for those not to familiar with firewalls or their systems.
- Outpost Firewall 2009 free, a cut down version of the Outpost Firewall Pro version, which should still provide good protection,
http://free.agnitum.com/. Download,
http://www.filehippo.com/download_outpost_firewall/