I have a feeling that Windows XP firewall is not protecting all ports. I can see that some applications are accessing internet without my approval. Now I feel that my computer is unprotected and I do not know what I should do. Any suggestion would be highly appreciated. Thank you in advance for your time.
Windows XP firewall is not the best firewall but it can protect your computer fairly well. You should try to configure it better and close ports you do not need open. You can do that from control panel. If you feel that you need some better firewall then install Outpost firewall which is my personal favorite.