Sorry about the title, I couldn't think of anything else.
I'm using XP SP3. When I log off, it stops all the running programs and logs off and displays the login screen. When I log in, it starts the programs again. Now at times, when I start a download and go away and come back after an hour and switch on the monitor, the logon screen is displayed, and when I log in, I can see that all the programs (AV, firewall, etc) are working, and the downloading is also active. But when after the computer has been inactive for some time and it goes back to the login screen and the download is running, is the Firewall still active?