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Windows' built-in firewall is better than nothing. I have no experience with Norton's firewall, except for some bad experiences with Norton's Security Suite, but I suspect that Norton's is better. From the way you've written your question, it's unclear whether you're speaking of Norton AV or Norton's firewall, but you must run both the anti-virus protection and the firewall.
My mistake, I meant Norton's firewall. I have allowed the Norton firewall to have priority over XP and disabled the XP firewall. I was just wondering which was the best program. I have the Norton Systemworks and their Firewall (both renewed recently) and I have had no problems with Norton in the past. Didn't know if XP might have the edge.
Norton's firewall is much better than the windows one. The windows firewall only offers incoming protection while Norton's protects both incoming and outgoing. If you had unknowingly become infected with something that was "calling home" from your computer you would never know it with the windows firewall. The Norton's would ask you if you want this process to have access out of your computer and you would realize that something is wrong.