Personally, I'd recommend going with Zone Alarm (free) or one of the other free firewalls that are out there. Products like Zone Alarm are application based, and it asks when the application tries to access the network. While windows firewall is okay, I like the features of Zone alarm (such as locking the hosts file among other things).

Downside: There is not a zone alarm for 64 bit windows XP.

Getting to the firewall can be done in the control panel, yes, details vary with your OS version (as to how to adjust the firewall), and firewall (windows, zonealarm...). But, the firewall wasn't around till XP-SP2 from M$.

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I'm here, you may now make your next two wishes.

Beat Me, Whip Me, Make Me Use Windows!!

Every Piece of Electronic Equipment runs on a finite amount of smoke. The systems are normally very efficient at reclaiming the smoke and recycling it, however, should you do something to let the smoke out, your system will become useless.

SAVE THE SMOKE !!

New PC :
New: Phenom 9500 Quad 2.2, 4gb ram XP Pro 64-bit (Sata 0), XP Pro 32 bit (sata 1), 40 eide HDD (music), Pioneer Blu-Ray Burner, HP Multidisk CD-RW/DVD-Rom, 2x250 Seagate HDD's, ATI Radeon 3870, Asus M3A32-MVP Deluxe WiFi-AP

Old PC:
P4 1.5GHz, 768 Ram, hda-80Gb (80Ubuntu), DVD R/RW