XPFiremon is a system tray monitoring application for the built-in Windows XP Firewall. It will monitor the settings and services and alert if they are stopped or disabled. Windows should also alert you if the firewall is disabled but depending on the circumstances it appears slow to do so. It's also comforting to many users to see something saying that their protection is active and not just inactive. XPFiremon also provides an easy right click interface for managing the firewall (stopping, starting, or configuring). This version includes several minor fixes and better tray icons.
Software that can be used as an alternative to XPFiremon: