It depends a lot on what you need it for and how much you want to mess with it. The hardware routers offered by netgear and lynxsys are cheap, and offer decent protection for the price and are fairly plug and play. Addtitionally, they offer cable and dsl hookups the added advantages of a router.

There are many software programs applicable to XP. You might investigate this link which seems to offer support for your platform altho being on a mac - I must admit I;ve never used it: http://www.networkice.com/ I have used a number of softwalls and have found them interesting, cheap and apparently effective - in anycase they seem to give me a lot of 'alerts.'