Using the build in firewall of xp is good enough for most folks. There are some issues which are tricky to overcome for the average user though. I am not sure who your network is set up though. In a scenario where you have the gateway pc having to nic's set where one nic is to the modem(if on broadband that is) and the other to the hub:
the one nic connection to the internet can be managed through properties, add the firewall to this one, but leave the other one(to the hub) firewall free because you do not need a firewall on this one for one reason, the other is that you will not be able to get the others to communicate if you use a firewall on it