As usual, I will recommend no firewalls. At least, on XP, letting it use its standard firewall is adequate for most people. It is adequate for handling incoming connections.
If you intend to use your machine to download and execute programs from warez sites, and other dubious places, having a more sophisticated firewall is probably a waste of time, as the damage to your system has already occurred, and the malware will have no trouble bypassing the firewall.
The other disadvantage of a firewall, is that most people get bored of approving all the outgoing connections, which they know they are making, and eventually permit a rogue outgoing connection without realising they should not have done so.
Either that, or they err the other way, and then have problems tracking down why something (e.g. Windows Update) is no longer working.
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"Striking up conversations with strangers is an autistic person's version of extreme sports."
Kamran Nazeer