ZD Net wraps up the good and bad things of Windows's Firewall:
Windows Firewall debuted with the release of Windows XP, and Windows XP Service Pack 2 enabled this feature by default. This host-based stateful firewall replaced Windows' Internet Connection Firewall.
This feature's default configuration rejects incoming IP traffic unless you've specifically allowed it. To configure or adjust the Windows Firewall settings, go to Start | Control Panel, and double-click the Windows Firewall applet. Let's take a closer look at the various settings..