I might be way off here but if your running XP
It has a built in firewall.
I have found it’s turned on by default on some version.
I.e. If dell pre-install it or Compaq.
But like I say I could be well off the mark here?

See http://is.curtin.edu.au/info-security/winxp_firewall.htm
For details.

Regards,

Gareth