You only need to configure Windows Firewall if you are having a problem with a program connecting to the Internet. If you're not having a problem, simply verify that Windows Firewall is enabled on your computer, and enjoy using the Internet knowing that Windows Firewall is helping to protect you. If you are experiencing a problem, you can add a firewall exception for that program to ensure Windows Firewall isn't causing the problem.
Source
http://www.pclaunches.com/software/microsoft_windows_xp_with_firewall.php