No, you should get yourself a software firewall, other than the one that comes with Windows XP. "Third Party" refers to a vendor other than Microsoft, in this case; you are the first party, Microsoft, the vendor of your operating system, Windows, is the second party, and any other software vendor is a third party. A good list of security and privacy software, some free, some paid, is available
HERE.
When you have selected and installed a software firewall, consult its documentation - usually found under "Help", for instructions concerning configurtion. Many firewalls have user forums you can visit for consultation with other users.