WARNING: Any program can easily receive and send data to anyone on the internet and this firewall will not warn you and will not stop it.
All you get with this firewall is a false sense of security.
Want to see a prove?
Download and install Microsoft Virtual PC 2007.
Set your firewall to block all traffic.
Run Virtual PC, install a guest OS in it and boot it (see the Virtual PC help for info on how to do it).
Now, even though your firewall is telling you it is blocking ALL traffic, you can browse any website from the guest OS and send data to anyone on the internet. The firewall will not warn you and will not stop it.
The cause is that this firewall watches only user-space applications, not drivers. BUT, any malevolent program (e.g. a Trojan) can easily launch a driver on your Windows XP anytime!
The bottom line is, with this firewall, all you get is a false sense of security (and a much slower system). The authors of malware are laughing at you right now.