Your router has a built in firewall, well it actually doesn't but how it functions with NAT makes it a firewall. That is all I am using, have no winxp but if I did, I would've disabled the built in firewall as soon as I installed it.
If you are concerned with
Dialers and such for outgoing traffic try Zone Alarm. I had Zone Alarm before and liked it but have not used any software firewalls so may be others can advise. I heard what windows uses is some version or variant of Zone Alarm; again, I could be wrong since I never researched on that.
Software and hardware firewalls each "protect" certain layers of the OSI Model, having both makes sense, I am happy with my router's firewall and practice "safe" browsing as well as clicking.
Go to
Gibson Research Corporation try the
ShieldsUP if the link don't work just let the first page load and scroll down, try the Leak Test as well.
I love the Three Musketeers
As for your other problem, slow file transfer could point to a faulty hardware ... from my side of the screen I can't see very well.
Please post your system spec.
How often do you update firmware, drivers and such?