Keep one thing in mind folks, the built-in NAT on routers and modems makes you 'look' invisible to the internet. But you 'can' be hit with a 'ping' search. These and XP's built-in firewall can stop 'incoming',but not protect from anything calling 'out'!
Imo,it's very important to get a third party firewall such as Zone Alarm for two way protection...