You dont need a firewall if you know what you are doing in regard to installing stuff like gs and its additional "features" and comparable programms.., browsing only sites that are known to be clean,if you land on a unclean one, run adaware afterwards..,start the firewall only if you intend to go into the wyld, like Ru sites ,and ones with weired long addresses unless they are from wikipedia etc.
Univerist and government sites are usually ok.
Stuff i catched i always did with a seeing eye.
My last reformat of Xp happened because i had to please a obcene urge to check out a pic of a chick in my town, i found on the net via sharaza.
but it wasnt sharaza that spoiled my machine it was a explorer exploit.
If your machine is trojan free and some security holes in xp are stuffed or you use servicepaks 1-X there should be no problem at all.