Tomk
qcseafoods,
Very good questions about firewalls.
The link I provided will give you more information than I know. I don't know the differences between the different firewalls but Sygate is one that some experts recommend.
The thing about windows firewall (in XP anyways) is that it is only one-way. It provides protection from what's coming in off the internet, it doesn't monitor what's going out. Also remember that if you have a router, you most likely have a hardware firewall in it. All of these are minimized when you open ports for P2P programs etc. The firewall is like a fence and the port is like a gate. When the gate is open it's alot like not having a fence.
You are very welcome.
Glad to help.
Good Luck and Be Well 