Every PC user should have a firewall installed. No exceptions. The one that comes with Windows XP is merely OK; it’s not exceptional. This one is better than good:
Comodo Personal Firewall is a kick-ass free firewall. It keeps hackers out and tricky unauthorized programs off the Internet. And it resists being terminated. It works as well as all but the best for-pay firewalls—and did I mention it’s free?
You can download the free firewall here (requires e-mail registration). Comodo also offers a decent and free password manager.