Antivirus and firewall software are two distinct methodologies to secure your computer against being compromised. A firewall blocks access to your machine, while an antivirus scans your machine for signs of a virus and deletes them. A third type of product is an anti-spyware which is specifically targeted to stop unwanted ads and monitoring of your computer activity. Antivirus firewall software is incorporated in a comprehensive security suite. A virus will arrive gain access to your computer either by exploiting a flaw on your system or by being activated by the user by pretending to be something else.

It is important to have a firewall and antivirus software otherwise you computer may be taken over. Once your computer is compromised in this way then the intruder has the ability to do anything they want with your machine, this includes reading all your emails, making you see popup adverts constantly, identifying your passwords, reading all your documents, sending out spam email from your machine potentially infecting your friends computers, copying illegal files to your machine etc.

Windows XP comes with its own firewall since service pack 2. If you have not already then enable windows update then it may be prudent to do so now, note though that first make sure that your computer has enough free space. then go start-> control panel -> system -> automatic updates, and check it is on automatic. Once it is installed you should see a shield in your system tray (bottom right), click on this to see if the firewall is active, if it is not then activate it.
Why do we need Antivirus and Firewall Software?
It would be a perfect world if every computer on the internet has antivirus and firewall software installed. Yes, this would help clean up the internet but as we know, there are millions of computers in the internet without basic security software installed. Because of this, we have billions of  viruses, trojans and spyware just waiting to be installed on your computer. Please be careful and become familiar with your security software that is installed. It may be a bit confusing at first, but this is a necessary step so you do not get infected. Infections can cause a variety of problems on your computer. They range from crashing your computer (not allowing it to boot up), deleting your files, emailing your files out to the internet, unstoppable pop-ups or at worst, loosing your identity! Yes, it’s possible to have your personal information stolen from you even if you have a hardware firewall/router installed on your internet connection.

Source1: http://www.antivirusfirewallsoftware.org/
Source2: http://www.antivirusfirewallsoftware.com/