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Just so you know, WinXP's built-in firewall does not attempt to manage or restrict outbound connections at all. It appears to be a useful firewall for hiding the machine from the Internet (it has "stealth mode" unsolicited packet handling), but you will still need to use a good third-party personal firewall if you wish to manage and control outbound connections from your system.
Many firewalls softwares claim to be the latest state-of-the-art, most secure and amazing things ever to grace your hard drive. But few actually are. Many are simply junk.
you can Test your firewall with
LeakTest and also with ShieldsUP!