First start by locating the start button in the lower left hand corner
of your screen and click it one time
Next, locate and select the 'CONTROL PANEL' option by scrolling up and clicking it as well to open
If you see that you're in 'CATEGORY VIEW', click on 'CLASSIC VIEW'. This is easily done by looking to the upper left hand portion of your computer screen
If you're already in 'CLASSIC VIEW' mode, locate and select the 'WINDOWS FIREWALL' option located towards the bottom of your computer screen which should have a 'RED BRICK WALL' icon for easy identification and double click to open up
Finally - locate and select the 'ON - RECOMMENDED' option by
clicking the little circle to the left, and you're set to go!
Source: http://www.ehow.com/how_6040985_turn-windows-xp-firewall.html