The firewall integrated in XP offers only an imperfect protection, as at least the Microsoft programs
who are always looking for contact with the outside world are not blocked.
Anyone who deactivates the firewall should definitely look for a replacement.

How do I deactivate the integrated firewall?

Start >> Programs >> Settings >> Control Panel >> Network Connections
Properties of the existing Internet connections >> Advanced >> Internet connection >> OFF
(Remove tick)

With the security center of service pack 2, the path is this:

  Start >> Programs >> Settings >> Control Panel >> Network Connections
Properties of the existing Internet connections >> Advanced >> Windows Firewall >> Settings >> Inactive