Microsoft Knowledge Base Article 283673 contains the following INTRODUCTION:
A firewall is a piece of software or hardware that creates a protective barrier between your computer and potentially damaging content on the Internet.
The firewall helps to guard your computer against malicious users,
and also against many computer viruses and worms.
Microsoft Windows XP provides Internet security in the form of a firewall,
known as the Internet Connection Firewall (ICF).
Windows XP Service Pack 2 (SP2) includes the new Windows Firewall,
replaces the Internet Connection Firewall (ICF).
The ICF feature is designed for home and small business use. ICF provides protection for computers that are directly connected to the Internet. This feature is available for local area network (LAN), for high-speed Internet connections, and for dial-up Internet connections. ICF also prevents the scanning of ports and of resources, such as file and printer shares, from external sources.
This article discusses how to enable ICF in Windows XP or in Windows XP SP1, and also how to enable Windows Firewall in Windows XP SP2. This article also discusses how to disable the Internet Connection Firewall feature in Windows XP or in Windows XP SP1, and how to disable Windows Firewall in Windows XP SP2. Disabling the firewall may help in troubleshooting some applications that do not function as expected behind a firewall.
For more information about the changes in Windows Firewall in Windows XP SP2, see New Networking Features in Windows XP Service Pack 2, the January 2004 Cable Guy article.