If you're running XP with SP2, get the inbuilt firewall running NOW. To paraphrase ©opy®ight : It doesn't matter which one you choose - Just choose one, and use it.
It does matter which firewall you choose. The ICF with SP2 (Internet connection firewall) does not have outbound blocking. Windows ICF has no protection against trojan horse applications and other out bound data transfer.

Heres the deal Windows firewall severally lacks outbound blocking which is a security risk. Choose Sygate like copyright stated.