Right now I think that the best thing that you can do is install Zone Alarm on the XP machine and get familar with this firewall first. It's free and works wonderfully. And this will provide you with exactly what your looking for in respects to security.
This is what I recommend that you do:
1> First visit this site to learn how to secure your windows environment. This site is for people that are new to Windows and is very informative and shows you visually what you need to do to secure your windows machine without a firewall. You need to learn about this stuff before you worry about trying to conifigure a firewall.
Go to this site below first an be patient: This is going to be an awesome learning experience for you right from the start, all the way to the end.
This is going to show you what vulnerabilities you are suffering from and show you how to close up the security holes that you have. Please take your time. Once you've gone through this site and all of the informative links you will not only feel much more confident about your computer privacy but you will have learned quit a bit.
After you have a handle on the steps taken in this site to secure your windows machine then you'll be ready to install ZoneAlarm. This is where the fun begins. ZoneAlarm will teach you allot about what windows is trying to blab out to the internet. It is the most user friendly firewall around and in my opinion the best host based firewall for windows. It keeps logs of everything and is all GUI Based. You even have a log file that you can have record everything. I believe that this is going to be the most productive for you. You will be learning at a beginners pace and won't run into many stumbleing blocks as you will with linux. More productivity=less frustration and more happiness..
I speak from experience and this is what I would've wanted someone to tell me when I was just learning about networking and security..
It is very important that you goto the above site first and work through the program that they have setup before you install ZoneAlarm.
Here's the ZoneAlarm site.
I don't mean to be rude to you, but I can tell that trying to walk you through setting up a firewall on linux is going to cause both of us more harm than good. I'm saying this from the heart. I've been exactly where your at. This isn't a bad thing at all. But I feel that you need to slowly build on your computer foundation of knowledge. Right now you would be doing yourself
a disfavor by jumping from not knowing much about computing in general to trying set a linux firewall. This is like jumping from Point A to Point Z without learning whats needed to get to point Z.
How does this sound WannaLearnLinux?