Windows XPs’ built in firewall.

I get a lot of questions from friends who have questioned the protection that Win XPs built in firewall provides for high speed internet service. Not being familiar with this type of firewall, can anyone come up with some more information on it. They tell me that the cable company that provides the high speed internet service does not even recommend using a firewall. They must be nuts. Any answers I can give these folks would be appreciated. I am talking single work station for a home office situation.
Thanks,
Wayne