On my XP+SP3 laptop, I was using Online Armor that was given away on the http://www.giveawayoftheday.com/ a few weeks ago and that caused such a slow down on my system (unless you like things generally slower and freezing for up to 10 seconds at a time every few minutes) that I have now gone back to ZoneAlarm which has also seemed to ok.
I have read in some places that WIndows Firewall is barely adequate for the purpose.