We have four machines here, two XP one 98 and one 2000 I think on a cable modem using a hub. You REALLY need a firewall if you're on a cable modem, it was simply amazing how many hacker hits we got as soon as we went on the cable modem. They think of your computer as always on, free high speed storage for their warez files and so on.
But as soon as we put the hub on, the attacks pretty much stopped completely. The hub prevented them from getting to our computers. And it's a wireless hub which I love to no end, I can wander all over the house with my laptop.
But anyway, both XP boxes have Norton Firewall on them anyway, just in case. We haven't had any difficulties at all with it, and with my game testing I've done all sorts of really bizarre on line games in all sorts of configurations. We have the full Norton Antivirus, Norton Utilities and Norton Firewall and they've all been working like a charm.