There are also some built-in firewall features in recent versions of  Windows. In particular, Windows XP Service Pack 2 (XP SP2) has replaced the  rather basic  Internet Connection Firewall (ICF) with a more advanced one now just  called Windows Firewall. 
The XP SP2 Windows Firewall is a stateful host firewall that provides  protection for computers against incoming traffic
.  Note that it DOES NOT provide outbound  filtering, unlike many of the firewalls in the list above.  You can configure it to allow a particular  application, or specific  ports. 
- Understanding Windows Firewall
- Manually Configuring Windows Firewall in Windows XP Service Pack 2
- Microsoft Knowledge Base Article - 875357 - Troubleshooting Windows Firewall settings in Windows XP Service Pack 2
- Troubleshooting Windows Firewall in Microsoft Windows XP Service Pack 2 (Word document)
- PC World Security Tip: Opening ports in the Windows Firewall for broken applications
- PC World Security Tip: Opening Ports in XP Service Pack 2
- Security Features of Internet Connection Sharing (Q241570) (Win 98SE and Win ME)
- HOW TO: Configure TCP/IP Filtering in Windows 2000 (Q309798)
- IP Security Filtering on Windows 2000. NOTE: Terminology is incorrect. IPSec normally refers to an IP security standard for IPv4 and IPv6.
- HOW TO: Enable the Internet Connection Firewall Feature in Windows XP (Q283673)
- How to Open Ports in the Windows XP Internet Connection Firewall has a list of ports followed by instructions
For Further Reading,

 
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