The built-in Windows XP firewall is better than nothing, but it’s pretty minimal. It probably wouldn’t hurt to turn it on until you get something better. Start, Control Panel, Network Connections, then look for the connection you’re using, right-click on it, then Properties, then the Advanced tab, where you’ll find a check box to turn it on.
When you get a better replacement, turn off the built-in firewall; doubling up could produce problems.