The windows XP firewall isn't worthy of the name as it is like a firedoor that will only protect from file if you happen to be on the right side of the door. So turning it off wouldn't make a blind bit of difference as it isn't recording anything about what is on your system.
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.
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.
It is some considerable time since I did install SP3 on my other system that I can't recall if I took any other measures some will say you should disable your AV others think it is unnecessary, so there is no real conclusive you must do this. I can't recall what what MSes view on this was/is, probably to disable.