XP has no outbound protection so a third party firewall is advised.
With the Vista firewall, you could also enable the outbound protection of the Vista firewall, but it isn't very friendly, is rule based and you have to create the rules. - Vista Firewall Control,
http://www.sphinx-soft.com/Vista/index.html and this,
http://www.sphinx-soft.com/Vista/faq.html. Also check out this topic for some user friendly help for the Vista Firewall, Outbound protection,
http://forum.avast.com/index.php?topic=30234.0.
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 (Defense+), 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/