If XP included anything that was useful, I think Microsoft would have loads of lawsuits against them
Anyway, I'm not using one at the moment, as a file sharer I have so much stuff moving between my computer and the net, and setting up firewalls to allow specific traffic isn't worth the hassle.
I think that, rather than buying firewalls, people should learn how not to get trojans and stuff on their computer in the first place. And, lets not forget, that when the next 'big' virus comes out, it won't matter which AV or Firewall you have as it will be designed to get around them.
Hope you don't mind me asking, but who recommended you get one? If it was someone trying to shift copies of Norton, then I understand
Also, when you put a firewall on, EVERYTHING is pretty much classed as a hacking attempt. It is to scare you into always having a firewall, buying the latest when recommended, e.t.c.
Firewalls I've used included BlackIce Defender, ZoneAlarm and Norton Internet Security. I could NEVER recommend Norton, or McAffe, as they are just too resource hungry - you know when they are on, as most stuff grinds to a halt.
I just checked the latest review from PCW, and they still recommend Norton [methinks Norton are giving them freebies!], but anyway, I'd honestly not bother. Windows Firewall is better than nothing, and most importantly I'd guess, KEEP YOUR WINDOWS UP TO DATE. When new updates are available, get them
Hope that helps in some way, shape or form