You need to have a personal firewall. This software provides protection from bad traffic getting into your computer, and also protects you from any bad programs sending your personal data back to the bad guys. You should install a personal firewall even if you have a high speed connection with a hardware firewall because the hardware firewall may not protect you from bad programs sending data back to the bad guys.
The Windows XP firewall provides basic, incomplete protection. Until you get your personal firewall installed you should use it, but it should be disabled when proper personal firewall software is installed.
Popular firewall software includes:
Commercial
Free Downloads
When you install a personal firewall, you will have to teach it what programs should be allowed to connect to the Internet. Most software will recognize common programs that connect to the Internet (e.g., web browsers, mail programs) but you will be asked if other software should be allowed to connect to the Internet. This training periods is usually brief and painless.