well, XP have a build in firewall. It's not bidirectional though, unlike Vista which they'll release in the future.
But if you think about it, if Microsoft can't make XP firewall bidirectional, I dont' think anyone can, you have to rework the whole IP protocol stack. (and even if you can, you probably shouldn't)
For network monitor program you can try the build in(or utility) that includes in your XP CD(should be somewhere under util directory).
I know server 2003 have pretty complete network monitoring utility, I'm not sure if XP have that too(but at least netcap is include in both).