Microsoft provides a simple firewall in Windows XP that protects from incoming traffic, but it will not block for outgoing traffic maybe caused by a virus that have taken over the computer. Windows XP SP2 includes an updated firewall, which still doesn't block for outgoing traffic, but it gives a better interface for controlling incoming traffic (File Sharing, Games, etc.)

Technet articles for XP SP2:

• How to script netsh to configure Windows Firewall features in Windows XP Service Pack 2 (MS KB843090)
• Description of the Windows Firewall feature in Windows XP Service Pack 2 (MS KB843090)
• How to configure the Windows Firewall feature in Windows XP Service Pack 2 (MS KB875356)
• Troubleshooting Windows Firewall settings in Windows XP Service Pack 2 (MS KB875357)

Technet articles for XP and XP with Service Pack 1:

• Description of the Windows XP Internet Connection Firewall (MS KB320855)
• Description of a Personal Firewall (MS KB321050)
• HOW TO: Enable or Disable Internet Connection Firewall in Windows XP (MS KB283673)
• HOW TO: Determine Which Program Uses or Blocks Specific Transmission Control Protocol Ports in Windows (MS KB281336)
• Service redirection does not apply to Internet Connection Firewall (MS KB297942)
• The Internet Connection Firewall Can Prevent Browsing and File Sharing (MS KB298804)
• How to Manually Open Ports in Internet Connection Firewall in Windows XP (MS KB308127)
• HOW TO: Turn On the Internet Connection Firewall Feature in Windows Server 2003 (MS KB317530)

To configure if the WinXP SP1 firewall should allow ping :

1. In Control Panel double click "Networking and Internet Connections"
2. Right click the connection which you would like to get pinged, and select "Properties"
3. On the Advanced-tab press the Settings-button
4. On the ICMP-tab tick "Allow incoming echo request"