Is the Windows XP firewall good enough?
Should you worry about using third party firewall or the windows firewall is sufficient?
On XP the firewall only monitors incoming connections. If a Trojan gets past your anti-virus then you have no way of knowing if it's "calling home".
Installing a 3rd party firewall like Comodo will allow you to monitor outgoing connections as well and is a back up in case something does get past your anti-virus.
Don't forget to disable the Windows one as they might not play nice together.
You might use a third party firewall just because you have previous experience with a similar firewall on other OS. For example, people with FreeBSD background find wipfw very handy.