there are two different sorts of firewall.
in bound firewalls stop things on the internet making in coming connections to your computer when they shouldn't
Out bound firewalls stop things on your computer making outgoing connections to the internet when they shouldn't.
For best protection the firewall you are running should operate on both in bound and out bound traffic. the standard windows XP firewall is an inbound only firewall.
By the sounds of it the computer with the error is running only the standard windows firewall and therefore offering you only in bound protection.
Does the version of Mcafee you have installed actually include a firewall ? if it doesn't then download and install a decent 3rd party firewall like zone alarm free
http://www.zonealarm.com/store/content/company /products/znalm/freeDownload_b.jsp
if the Mcafee software you have installed does include a firewall then you need to disable the standard windows firewall and enable the McAfee one. not sure how to enable it exactly though as I don't use McAfee
Also does the second machine without the error have some other sort of firewall already installed on it?