Desktop firewalls: Win XP vs 3rd party

For those with more experience with Windows XP, what do you think of the native personal firewall software?

We recently upgraded a remote user to Windows XP from Windows 2000 Pro (actually, he got a new laptop). He connects to the Internet over DSL and we installed a free ZoneLabs firewall when he was running 2KPro.

What?s the verdict on the quality of the XP/IE firewalls? Should we install another 3rd party firewall or just go with the native stuff?