In addition to the Windows Firewall included with Windows XP, there are many third-party vendors who offer their own firewall programs for use on your PC. Many of these third-party firewalls are more robust and offer more protections than the Windows Firewall.
However, you should only run one firewall program at a time, however. If you enable more than one firewall program at a time, you could cause conflicts between the multiple firewalls, leaving your system more vulnerable to outside attack. If you install a premium firewall, you should disable any other firewalls on your computer.