As well as the problems with XP's firewall as mentioned above, it's also not that hot because I believe it only has one-way protection, i.e., it only blocks inbound attacks.
A good firewall will also stop programs getting out from your computer onto the internet too. Zone Alarm is a good free one, personally I prefer Kerio Personal Firewall (also free), but both equally good.
It's best not to use two software firewalls at the same time since they may interfere with eachother, just like most people don't have two alarms on their houses or cars.
Do you have a router? If so, that'll do a pretty good job of blocking attacks too most likely.